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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierChaire de finance quantitative [FiQuant]
dc.contributor.authorLoeper, Grégoire
hal.structure.identifier
dc.contributor.authorSoner, Halil Mete
hal.structure.identifierDepartment of Mathematics [Singapore]
dc.contributor.authorZhou, Chao
dc.date.accessioned2019-10-03T09:59:24Z
dc.date.available2019-10-03T09:59:24Z
dc.date.issued2019
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19989
dc.language.isoenen
dc.subjectstochastic target problemsen
dc.subjectgeneral market impactsen
dc.subject.ddc519en
dc.titleSecond order stochastic target problems with generalized market impacten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not concave and the regularization/verification approach of [7] can not be applied. We also relax the gamma constraint of [7]. In place, we need to generalize the a priori estimates of [18] and exhibit smooth solutions from the classical parabolic equations theory. Up to an additional approximating argument, this allows us to show that the super-hedging price solves the parabolic equation and that a perfect hedging strategy can be constructed when the coefficients are smooth enough. This representation leads to a general dual formulation. We finally provide an asymptotic expansion around a model without impact.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages27en
dc.contributor.countryeditoruniversityotherAUSTRALIA
dc.contributor.countryeditoruniversityotherSWITZERLAND
dc.contributor.countryeditoruniversityotherSINGAPORE
dc.relation.isversionofjnlpublisherSIAM - Society for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingouien
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-10-03T09:54:13Z
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