PDE methods for optimal Skorokhod embeddings (Q2421278): Difference between revisions

@@ Property / DOI @@
-.1007/s00526-019-1563-7
@@ Property / DOI: 10.1007/s00526-019-1563-7 / rank @@
-Normal rank
@@ Property / author @@
+Nassif Ghoussoub
@@ Property / author: Nassif Ghoussoub / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2962745945
@@ Property / OpenAlex ID: W2962745945 / rank @@
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@@ Property / arXiv ID @@
+.10347
@@ Property / arXiv ID: 1807.10347 / rank @@
+Normal rank
@@ Property / cites work @@
+Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Monotone martingale transport plans and Skorokhod embedding
+Normal rank
@@ Property / cites work @@
+Optimal transport and Skorokhod embedding
@@ Property / cites work: Optimal transport and Skorokhod embedding / rank @@
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@@ Property / cites work @@
+Optimal mass transportation and Mather theory
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+Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
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+Robust hedging of options on a leveraged exchange traded fund
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+Root's barrier: construction, optimality and applications to variance options
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+Irreducible convex paving for decomposition of multidimensional martingale transport plans
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+Stochastic optimal transport with free end time
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
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+Structure of optimal martingale transport plans in general dimensions
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+Optimal Transport with Controlled Dynamics and Free End Times
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+A solution to the Monge transport problem for Brownian martingales
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+On the Monotonicity Principle of Optimal Skorokhod Embedding Problem
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+Monotonicity preserving transformations of MOT and SEP
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+ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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+Skorohod embedding of multivariate RV's, and the sample DF
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+On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
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+On the smoothness of superharmonics which solve a minimum problem
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+The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat
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+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
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+Optimal stopping, free boundary, and American option in a jump-diffusion model
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+The Existence of Certain Stopping Times on Brownian Motion
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+Q4107704
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+Q5524051
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+Optimal stochastic control, stochastic target problems, and backward SDE.
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+Q4805362
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+Regularity of Weak Solutions of Parabolic Variational Inequalities
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@@ Property / Wikidata QID @@
+Q127718433
@@ Property / Wikidata QID: Q127718433 / rank @@
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@@ Property / DOI @@
+.1007/S00526-019-1563-7
@@ Property / DOI: 10.1007/S00526-019-1563-7 / rank @@
+Normal rank