Ítem
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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
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Editor
Universidad del Rosario
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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
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Keywords
Stochastic target problem , dynamic programming principle , viscosity solution , Hamilton Jacobi-Bellman equation , super-replication , large investor , portfolio constraints