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- W2051220807 abstract "Let Z t , z ν be a R d+1 -valued mixed diffusion process controlled by ν with initial condition Z t , z ν ( t )= z . In this paper, we characterize the set of initial conditions such that Z t , z ν can be driven above a given stochastic target at time T by proving that the corresponding value function is a discontinuous viscosity solution of a variational partial differential equation. As applications of our main result, we study two examples: a problem of optimal insurance under self-protection and a problem of option hedging under jumping stochastic volatility where the underlying stock pays a random dividend at a fixed date." @default.
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- W2051220807 date "2002-10-01" @default.
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- W2051220807 title "Stochastic targets with mixed diffusion processes and viscosity solutions" @default.
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- W2051220807 doi "https://doi.org/10.1016/s0304-4149(02)00129-1" @default.
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