Stochastic target problems with controlled loss

SIAM Journal on Control and Optimization

Volumn 48, Issue 5, 2009, Pages 3123-3150

  Bouchard, Bruno ^a   Elie, Romuald ^a   Touzi, Nizar ^b  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Discontinuous viscosity solutions; Quantile hedging; Stochastic target problem

Indexed keywords

DYNAMIC PROGRAMMING; STOCHASTIC SYSTEMS;

CONTROLLED PROCESS; DISCONTINUOUS VISCOSITY SOLUTIONS; DYNAMIC PROGRAMMING EQUATIONS; EXPLICIT SOLUTIONS; FINANCIAL MATHEMATICS; PROBABILITY OF SUCCESS; QUANTILE HEDGING; STOCHASTIC TARGET PROBLEMS;

PROCESS CONTROL;

EID: 85015716268     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/08073593X     Document Type: Article

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