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A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
stochastic target problem jump diffusion hedging problem large investors
2009/3/23
Let Z(t,z) be a Rd-valued controlled jump diffusion starting from the point z at time t. The aim of this paper is to characterize the set V(t) of initial conditions z such that Z(t,z) can be driven in...
