Stochastic targets with mixed diffusion processes and viscosity solutions. (Q2574513): Difference between revisions

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+Viscosity solutions of Hamilton-Jacobi equations
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+Explicit solution to the multivariate super-replication problem under transaction costs.
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+A closed-form solution to the problem of super-replication under transaction costs
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+Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
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+Q3996259
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+On the Existence of Pure and Mixed Strategy Nash Equilibria in Discontinuous Games
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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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