Ítem
Acceso Abierto
Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
Título de la revista
Autores
Serrano Perdomo, Rafael Antonio
Fecha
2014
Directores
ISSN de la revista
Título del volumen
Editor
Universidad del Rosario
Buscar en:
Métricas alternativas
Resumen
Abstract
The purpose of this expository arti le is to present a self- ontained overview of some results on the hara terization of the optimal value fun tion of a sto hasti target problem as (dis ontinuous) vis osity solution of a ertain dynami programming PDE and its appli ation to the problem of hedging ontingent laims in the presen e of portfolio onstraints and large investors
Palabras clave
Keywords
Stochastic target problem , dynamic programming principle , viscosity solution , Hamilton Jacobi-Bellman equation , super-replication , large investor , portfolio constraints
