The multi-dimensional super-replication problem under gamma constraints (Q2575852): Difference between revisions

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+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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+Viscosity solutions of Hamilton-Jacobi equations
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+Super-replication in stochastic volatility models under portfolio constraints
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+Optional decompositions under constraints
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+ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
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+Superreplication Under Gamma Constraints
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+Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
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+Dynamic programming for stochastic target problems and geometric flows
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+Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
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