Second Order Stochastic Target Problems

  • Nizar Touzi
Chapter
Part of the Fields Institute Monographs book series (FIM, volume 29)

Abstract

In this chapter, we extend the class of stochastic target problems of the previous section to the case where the quadratic variation of the control process ν is involved in the optimization problem. This new class of problems is motivated by applications in financial mathematics.

Keywords

Filtration Expense Volatility Hedging Cetin 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Nizar Touzi
    • 1
  1. 1.Département de Mathématiques AppliquéesÉcole PolytechniquePalaiseau CedexFrance

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