Small time path behavior of double stochastic integrals and applications to stochastic control

Annals of Applied Probability

Volumn 15, Issue 4, 2005, Pages 2472-2495

  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; Hedging under gamma constraints; Law of the iterated logarithm; Stochastic con trol

Indexed keywords

EID: 30844453791     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000557     Document Type: Article

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