Small time path behavior of double stochastic integrals and applications to stochastic control

DOI10.1214/105051605000000557zbMath1099.60027arXivmath/0602453OpenAlexW3100774807WikidataQ57635940 ScholiaQ57635940MaRDI QIDQ2496497

Nizar Touzi, Patrick Cheridito, Halil Mete Soner

Publication date: 10 July 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602453

zbMATH Keywords

stochastic controllaw of the iterated logarithmhedging under gamma constraints

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (6)

Stochastic invariance for hybrid stochastic differential equation with non-Lipschitz coefficients ⋮ Option hedging for small investors under liquidity costs ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Explicit deferred correction methods for second-order forward backward stochastic differential equations ⋮ Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations ⋮ The multi-dimensional super-replication problem under gamma constraints

Cites Work

• Unnamed Item
• On the possibility of hedging options in the presence of transaction costs
• Dynamic programming for stochastic target problems and geometric flows
• The multi-dimensional super-replication problem under gamma constraints
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Superreplication Under Gamma Constraints
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

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