Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

DOI10.3934/NACO.2023007MaRDI QIDQ6164098zbMATH OpenOpenAlexFDO

Authors Mingyu Xu

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2023007

zbMATH Keywords

Malliavin calculusvariational inequalitybackward stochastic differential equation with constraintnon-trivial optionsproportion constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Recommendations

• Superhedging under ratio constraint
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• On superhedging under delta constraints
• Barrier Option Hedging under Constraints: A Viscosity Approach
• scientific article; zbMATH DE number 1985275

Cites work

• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with constraints on the gains-process
• Constrained BSDEs, viscosity solutions of variational inequalities and their applications
• Convex duality in constrained portfolio optimization
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Hedging American contingent claims with constrained portfolios
• Hedging contingent claims with constrained portfolios
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Reflected BSDE with a constraint and its applications in an incomplete market
• Superhedging under ratio constraint
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(4)

• Superhedging under ratio constraint
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• On the quasi-sure superhedging duality with frictions
• On superhedging under delta constraints

This page was built for publication: Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6164098)