IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00515522.html
   My bibliography  Save this paper

Stochastic target problems with controlled loss in jump diffusion models

Author

Listed:
  • Ludovic Moreau

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we consider a mixed diffusion version of the stochastic target problem introduced by Bouchard et al. (2009). This consists in finding the minimum initial value of a controlled process which guarantees to reach a controlled stochastic target with a given lovel of expected loss. As in Bouchard et al. (2009), it can be converted into a standard stochastic target problem, as already studied by Soner and Touzi (2002) or Bouchard (2002) for the mixed diffusion case, by increasing both the state space and the dimension of the control. In our mixed-diffusion setting, the main difficulty comes from the presence of jumps, which leads to the introduction of a new kind of controls that take values in an unbounded set of measurable maps. This has non trivial impacts on the formulation and derivation of the associated partial differential equations.

Suggested Citation

  • Ludovic Moreau, 2011. "Stochastic target problems with controlled loss in jump diffusion models," Post-Print hal-00515522, HAL.
  • Handle: RePEc:hal:journl:hal-00515522
    DOI: 10.1137/100802268
    Note: View the original document on HAL open archive server: https://hal.science/hal-00515522v3
    as

    Download full text from publisher

    File URL: https://hal.science/hal-00515522v3/document
    Download Restriction: no

    File URL: https://libkey.io/10.1137/100802268?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(1), pages 193-194, February.
    2. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(2), pages 541-545, April.
    3. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(4), pages 1007-1017, August.
    4. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1461-1465, December.
    5. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1273-1289, October.
    6. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(3), pages 819-821, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
    3. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
    4. 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.
    5. 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.
    6. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cambier, Adrien & Chardy, Matthieu & Figueiredo, Rosa & Ouorou, Adam & Poss, Michael, 2022. "Optimizing subscriber migrations for a telecommunication operator in uncertain context," European Journal of Operational Research, Elsevier, vol. 298(1), pages 308-321.
    2. Libura, Marek, 2007. "On the adjustment problem for linear programs," European Journal of Operational Research, Elsevier, vol. 183(1), pages 125-134, November.
    3. Christophe Loussouarn & Carine Franc & Yann Videau & Julien Mousquès, 2021. "Can General Practitioners Be More Productive? The Impact of Teamwork and Cooperation with Nurses on GP Activities," Health Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 680-698, March.
    4. Tschakert, Petra, 2016. "Shifting Discourses of Vilification and the Taming of Unruly Mining Landscapes in Ghana," World Development, Elsevier, vol. 86(C), pages 123-132.
    5. Isabelle Boutron & Peter John & David J. Torgerson, 2010. "Reporting Methodological Items in Randomized Experiments in Political Science," The ANNALS of the American Academy of Political and Social Science, , vol. 628(1), pages 112-131, March.
    6. Ben Slimane, Faten & Padilla Angulo, Laura, 2019. "Strategic change and corporate governance: Evidence from the stock exchange industry," Journal of Business Research, Elsevier, vol. 103(C), pages 206-218.
    7. Weijun Xie & Yanfeng Ouyang & Sze Chun Wong, 2016. "Reliable Location-Routing Design Under Probabilistic Facility Disruptions," Transportation Science, INFORMS, vol. 50(3), pages 1128-1138, August.
    8. Natalia Nikolaevna Natocheeva* & Yuri Alexandrovich Rovensky & Yuri Yuryevich Rusanov & Tatiana Viktorovna Belyanchikova & Anna Anatolevna Staurskaya, 2018. "Optimizing Variability of Approaches to Regulatory Financing of Higher Education Services," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 221-227:3.
    9. Sahar Validi & Arijit Bhattacharya & P. J. Byrne, 2020. "Sustainable distribution system design: a two-phase DoE-guided meta-heuristic solution approach for a three-echelon bi-objective AHP-integrated location-routing model," Annals of Operations Research, Springer, vol. 290(1), pages 191-222, July.
    10. Andy Hall, 2005. "Capacity development for agricultural biotechnology in developing countries: an innovation systems view of what it is and how to develop it," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(5), pages 611-630.
    11. Athinoula A. Kosti & Simon Colreavy-Donnelly & Fabio Caraffini & Zacharias A. Anastassi, 2020. "Efficient Computation of the Nonlinear Schrödinger Equation with Time-Dependent Coefficients," Mathematics, MDPI, vol. 8(3), pages 1-12, March.
    12. Bruno Frey, 2005. "Problems with Publishing: Existing State and Solutions," European Journal of Law and Economics, Springer, vol. 19(2), pages 173-190, April.
    13. Lan, Heng-you, 2021. "Approximation-solvability of population biology systems based on p-Laplacian elliptic inequalities with demicontinuous strongly pseudo-contractive operators," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    14. Shelly Jeffcott & Nick Pidgeon & Andrew Weyman & John Walls, 2006. "Risk, Trust, and Safety Culture in U.K. Train Operating Companies," Risk Analysis, John Wiley & Sons, vol. 26(5), pages 1105-1121, October.
    15. Rainer Niemann, 2004. "Asymmetric Taxation and Cross-Border Investment Decisions," CESifo Working Paper Series 1219, CESifo.
    16. Zhenghua Gu & Xiaomeng Cao & Guoliang Liu & Weizhen Lu, 2014. "Optimizing Operation Rules of Sluices in River Networks Based on Knowledge-driven and Data-driven Mechanism," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(11), pages 3455-3469, September.
    17. Ian N. Gregory & Paul S. Ell, 2005. "Breaking the boundaries: geographical approaches to integrating 200 years of the census," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(2), pages 419-437, March.
    18. Alexis Comber & Paul Harris, 2018. "Geographically weighted elastic net logistic regression," Journal of Geographical Systems, Springer, vol. 20(4), pages 317-341, October.
    19. Fuamenya A. Francis, 2018. "Impact of Management Practices in Industries in the Industrial ¨C Free ¨C Trade Zones in Douala, Littoral Region of Cameroon: ¡°Challenges and Prospects¡±," Business and Management Research, Business and Management Research, Sciedu Press, vol. 7(3), pages 10-26, September.
    20. K. Padmanathan & N. Kamalakannan & P. Sanjeevikumar & F. Blaabjerg & J. B. Holm-Nielsen & G. Uma & R. Arul & R. Rajesh & A. Srinivasan & J. Baskaran, 2019. "Conceptual Framework of Antecedents to Trends on Permanent Magnet Synchronous Generators for Wind Energy Conversion Systems," Energies, MDPI, vol. 12(13), pages 1-39, July.

    More about this item

    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:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00515522. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.