The multi-dimensional super-replication problem under gamma constraints

Annales de l'Institut Henri Poincare (C) Analyse Non Lineaire

Volumn 22, Issue 5, 2005, Pages 633-666

  Cheridito, Patrick ^a   Soner, H Mete ^b   Touzi, Nizar ^c  

^a PRINCETON UNIVERSITY   (United States)

^b KOÇ UNIVERSITY   (Turkey)

^c CREST   (France)

Author keywords

Double stochastic integrals; Gamma constraints; Parabolic majorant; Super replication; Viscosity solutions

Indexed keywords

CONSTRAINT THEORY; INTEGRAL EQUATIONS; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; VISCOSITY;

GAMMA CONSTRAINTS; PARABOLIC MAJORANT; SUPER-REPLICATION; VISCOSITY SOLUTIONS;

PROBLEM SOLVING;

EID: 24944463132     PISSN: 02941449     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.anihpc.2004.10.012     Document Type: Article

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