Superreplication under gamma constraints

SIAM Journal on Control and Optimization

Volumn 39, Issue 1, 2000, Pages 73-96

  Mete Soner, H ^a   Touzi, Nizar ^b  

^a Princeton University   (United States)

^b UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

BOUNDARY CONDITIONS; CONSTRAINT THEORY; CONVERGENCE OF NUMERICAL METHODS; COSTS; DIFFERENTIAL EQUATIONS; DYNAMIC PROGRAMMING; INTEGRAL EQUATIONS; MARKETING; MATHEMATICAL MODELS; RISK ASSESSMENT; THEOREM PROVING; VARIATIONAL TECHNIQUES;

GAMMA CONSTRAINTS; STOCHASTIC ANALYSIS; STOCHASTIC CONTROLS; SUPERREPLICATION; VISCOSITY SOLUTIONS;

MARKOV PROCESSES;

EID: 0342854527     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998348991     Document Type: Article

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