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dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-21T07:59:48Z
dc.date.available2009-09-21T07:59:48Z
dc.date.issued2002
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1790
dc.language.isoenen
dc.subjectMathematical finance and insuranceen
dc.subjectStochastic controlen
dc.subjectStochastic targeten
dc.subject.ddc519en
dc.titleStochastic Target with Mixed diffusion processesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenLet Zt,zν be a Image -valued mixed diffusion process controlled by ν with initial condition Zt,zν(t)=z. In this paper, we characterize the set of initial conditions such that Zt,zν can be driven above a given stochastic target at time T by proving that the corresponding value function is a discontinuous viscosity solution of a variational partial differential equation. As applications of our main result, we study two examples: a problem of optimal insurance under self-protection and a problem of option hedging under jumping stochastic volatility where the underlying stock pays a random dividend at a fixed date.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol101en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2002-10
dc.relation.isversionofjnlpages273-302en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4149(02)00129-1en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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