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

backward stochastic differential equation with constraintMalliavin calculusnon-trivial optionsproportion constraintvariational inequality

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)

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Cites work

• 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
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• 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

(5)

• Superhedging under ratio constraint
• On the quasi-sure superhedging duality with frictions
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• On superhedging under delta constraints
• The second-order Esscher martingale densities for continuous-time market models

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