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dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-24T12:49:46Z
dc.date.available2009-09-24T12:49:46Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1930
dc.language.isoenen
dc.subjectViscosity solutionsen
dc.subjectReflected diffusionen
dc.subjectMathematical Financeen
dc.subject.ddc519en
dc.subject.classificationjelG10en
dc.titleOptimal reflection of diffusions and barrier options pricing under constraintsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe introduce a new class of control problems in which the gain depends on the solu- tion of a stochastic differential equation (SDE) reflected at the boundary of a bounded domain, along directions which are controlled by a bounded variation process. We provide a PDE characterization of the associated value function. This study is motivated by applications in mathematical finance, where such equations are related to the pricing of barrier options under portfolio constraints.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol47en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages1785–1813en
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/070697161en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSociety for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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