Stochastic Target Problems with Controlled Loss in Jump Diffusion Models

DOI10.1137/100802268zbMath1237.93180OpenAlexW2282526706MaRDI QIDQ3224976

Ludovic Moreau

Publication date: 13 March 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100802268

zbMATH Keywords

quantile hedgingstochastic target problemdiscontinuous viscosity solutionsmixed diffusion process

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (9)

A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options ⋮ Stochastic Perron for stochastic target problems ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Stochastic target games with controlled loss ⋮ On the controller-stopper problems with controlled jumps ⋮ Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints ⋮ A Numerical Scheme for the Quantile Hedging Problem ⋮ BSDEs with weak terminal condition ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models

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