Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

Rafael Serrano ()

No 12233, Documentos de Trabajo from Universidad del Rosario

Abstract: The purpose of this expository article is to present a self-contained overview of some results on the characterization of the optimal value function of a stochastic target problem as (discontinuous) viscosity solution of a certain dynamic programming PDE and its application to the problem of hedging contingent claims in the presence of portfolio constraints and large investors.

Keywords: Stohastitarget problem; dynamiprogramming priniple; visosity solution; Hamilton-Jaobi-Bellman equation; super-repliation; large investor; portfolioonstraints (search for similar items in EconPapers)
JEL-codes: C02 C61 G13 (search for similar items in EconPapers)
Pages: 37
Date: 2014-10-10
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Persistent link: https://EconPapers.repec.org/RePEc:col:000092:012233

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