A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure

Journal of Mathematical Sciences

Umezawa, Yuji¹ 

关键词: The Cauchy problem;    diffusion equations with absorption;    initial Dirac mass;    very singular solutions;    existence;    nonexistence;    bifurcations;    branching.;   

DOI  :  

学科分类：数学（综合）

来源: University of Tokyo * Department of Mathematical Sciences

【 摘 要 】

WestudyahedgingproblemforanEuropeancontingentclaiminacertainincompletemarketmodelbyusingahomogeneousfilteredvaluemeasure.Weconsidertheminimalhedgingriskindiscretetimemodelanditscontinuouslimit.Asaresult,weshowthatthislimitisdescribedbytheuniqueviscositysolutionofakindofHamilton-Jacobi-Bellmanequation.

【 授权许可】

Unknown