Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/100802268
Reference8 articles.
1. Stochastic targets with mixed diffusion processes and viscosity solutions
2. Stochastic Target Problems with Controlled Loss
3. The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints
4. Quantile hedging
5. Optimal Control with State-Space Constraint I
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3. Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints;Applied Mathematical Finance;2019-05-04
4. On the Controller-Stopper Problems with Controlled Jumps;Applied Mathematics & Optimization;2017-12-01
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