Presentation: Market illiquidity and dual formulation of target problems
Workshop: Optimization and Optimal Control
Time: Wed, October 22, 2008, 16:20-17:10
Speaker: Nizar Touzi
Abstract
The market illiquidity model of Cetin, Jarrow, and Protter leads to a new class of hedging problems, and motivates the introduction of second order target problems. We provide a dual formulation which involves a convenient set of singular measures. Existence holds after control relaxation. This provides a theory for weak solutions of second order backward stochastic differential equations.
Presentation slides (pdf, 655 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 03/29/24 - 11:24 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST