Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

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 ont...

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Autor Principal: Serrano, Rafael
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Universidad del Rosario 2014
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/11006
id ir-10336-11006
recordtype dspace
spelling ir-10336-110062019-09-19T12:37:01Z Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors Serrano, Rafael Economía Economía Análisis estocástico Programación estocástica Teoría económica Stochastic target problem dynamic programming principle viscosity solution Hamilton Jacobi-Bellman equation super-replication large investor portfolio constraints 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 2014 2015-10-13T19:50:09Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/11006 Universidad del Rosario eng info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Economía
Economía
Análisis estocástico
Programación estocástica
Teoría económica
Stochastic target problem
dynamic programming principle
viscosity solution
Hamilton Jacobi-Bellman equation
super-replication
large investor
portfolio constraints
spellingShingle Economía
Economía
Análisis estocástico
Programación estocástica
Teoría económica
Stochastic target problem
dynamic programming principle
viscosity solution
Hamilton Jacobi-Bellman equation
super-replication
large investor
portfolio constraints
Serrano, Rafael
Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
description 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
format Documento de trabajo (Working Paper)
author Serrano, Rafael
author_facet Serrano, Rafael
author_sort Serrano, Rafael
title Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_short Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_full Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_fullStr Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_full_unstemmed Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
title_sort dynamic programming for stochastic target problems, viscosity solutions and hedging in markets with portfolio constraints and large investors
publisher Universidad del Rosario
publishDate 2014
url http://repository.urosario.edu.co/handle/10336/11006
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score 11,489418