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

The purpose of this expository article is to present a self-contained overview of some results on the characterization of the optimal value function of a stochastic target problem as (discontinuous) viscosity solution of a certain dynamic programming PDE and its application to the problem of hedging contingent claims in the presence of portfolio constraints and large investors.

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Year of publication:	2014-10-10
Authors:	Serrano, Rafael
Institutions:	UNIVERSIDAD DEL ROSARIO
Subject:	Stohastitarget problem \| dynamiprogramming priniple \| visosity solution \| Hamilton-Jaobi-Bellman equation \| super-repliation \| large investor \| portfolioonstraints

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Series:	DOCUMENTOS DE TRABAJO.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C02 - Mathematical Methods ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010945811