Stochastic target problems with controlled loss in jump diffusion models
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DOI: 10.1137/100802268
Note: View the original document on HAL open archive server: https://hal.science/hal-00515522v3
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Cited by:
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Mohan Yang, 2023. "An optimal transport approach for the multiple quantile hedging problem," Papers 2308.01121, arXiv.org.
- Erhan Bayraktar & Jiaqi Li, 2016.
"Stochastic Perron for Stochastic Target Problems,"
Journal of Optimization Theory and Applications, Springer, vol. 170(3), pages 1026-1054, September.
- Erhan Bayraktar & Jiaqi Li, 2016. "Stochastic Perron for Stochastic Target Problems," Papers 1604.03906, arXiv.org, revised May 2016.
- Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org, revised Sep 2014.
- Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
- Cyril B'en'ezet & Jean-Franc{c}ois Chassagneux & Christoph Reisinger, 2019. "A numerical scheme for the quantile hedging problem," Papers 1902.11228, arXiv.org.
- Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
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Keywords
stochastic target problem; mixed diffusion process; discontinuous viscosity solutions; quantile hedging;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2012-03-08 (Operations Research)
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