Stochastic target problems with controlled loss in jump diffusion models

DOI10.1137/100802268MaRDI QIDQ3224976zbMATH OpenOpenAlexFDO

Authors L. Moreau

Publication date 13 March 2012

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100802268

zbMATH Keywords

discontinuous viscosity solutionsmixed diffusion processquantile hedgingstochastic target problem

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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(14)

• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
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• Stochastic target games with controlled loss
• A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
• Stochastic targets with mixed diffusion processes and viscosity solutions.
• Stochastic target problems with controlled loss
• Hedging under an expected loss constraint with small transaction costs
• Stochastic Perron for stochastic target problems
• scientific article; zbMATH DE number 4141940 (Why is no real title available?)
• Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
• A numerical scheme for the quantile hedging problem
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