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  •   Repositorio Institucional EdocUR - Universidad del Rosario
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  • Documentos de trabajo economía
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Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

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Date
2014
Author
Serrano, RafaelAutoridad Universidad de Rosario
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Citation
URI
https://ideas.repec.org/p/col/000092/012233.html...

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

Keyword

Stochastic target problem ; dynamic programming principle ; viscosity solution ; Hamilton Jacobi-Bellman equation ; super-replication ; large investor ; portfolio constraints ;

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https://ideas.repec.org/p/col/000092/012233.html...

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