A General Stochastic Target Problem with Jump Diffusion and an Application to a Hedg- Ing Problem for Large Investors
نویسنده
چکیده
Let Z t,z be a R -valued jump diffusion controlled by ν with initial condition Z t,z(t) = z. The aim of this paper is to characterize the set V (t) of initial conditions z such that Z t,z can be driven into a given target at a given time by proving that the function u(, z) = 1 − 1V (t) satisfies, in the viscosity sense, the equation (2) below. As an application, we study the problem of hedging in a financial market with a large investor.
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