Stochastic targets with mixed diffusion processes and viscosity solutions

Stochastic Processes and their Applications

Volumn 101, Issue 2, 2002, Pages 273-302

  Bouchard, Bruno ^a,b  

^a SORBONNE UNIVERSITÉ   (France)

^b CREST   (France)

Author keywords

Mathematical finance and insurance; Mixed diffusion processes; Stochastic control; Super replication; Viscosity solutions

Indexed keywords

EID: 0036787814     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(02)00129-1     Document Type: Article

References (10)

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3. Cvitanić, J., Pham, H., Touzi, N., 1999. A closed form solution to the problem of super replication under transaction costs. Finance and Stochastics 3, 35-54.
4. Lions, P.L., 1983. Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Parts I and II. Commun. P.D.E. 8, 1101-1174, 1229-1276.
5. Protter, P., 1990. Stochastic Integration and Differential Equations. Springer, Berlin.
6. Reny, P.J., 1999. On the existence of pure and mixed strategy Nash equilibria in discontinuous games. Econometrica 67 (5), 1029-1056.
7. Soner, M., Touzi, N., 2000a. Super-replication under Gamma constraint. SIAM J. Control Optim. 39 (1), 73-96.
8. Soner, M., Touzi, N., 2000b. Stochastic target problems, dynamic programming and viscosity solutions, SIAM J. Control Optim., to appear.
9. Soner, M., Touzi, N., 2001. Dynamic programming for stochastic target problems and geometric flows. J. European Math. Soc., online publication: November 27, 2001.
10. Touzi, N., 2000. Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. Stochastic Process. Appl. 2 (88), 305-328.