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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| Formato: | Documento de trabajo (Working Paper) |
| Lenguaje: | Inglés (English) |
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Universidad del Rosario
2014
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/11006 |