Second-Order Stochastic Target Problems with Generalized Market Impact

DOI10.1137/18M1196078zbMath1430.91106arXiv1806.08533WikidataQ126528720 ScholiaQ126528720MaRDI QIDQ5205387

Bruno Bouchard, Grégoire Loeper, Chao Zhou, Halil Mete Soner

Publication date: 11 December 2019

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

Full work available at URL: https://arxiv.org/abs/1806.08533

zbMATH Keywords

asymptotic expansionfully nonlinear parabolic equationgeneralized market impactsecond-order stochastic target

Mathematics Subject Classification ID

PDEs in connection with biology, chemistry and other natural sciences (35Q92) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Understanding the dual formulation for the hedging of path-dependent options with price impact, Kyle-back models with risk aversion and non-Gaussian beliefs, Interior second derivatives estimates for nonlinear diffusions

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