Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes (Q4464389)

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scientific article; zbMATH DE number 2067813
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Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
scientific article; zbMATH DE number 2067813

    Statements

    Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes (English)
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    27 May 2004
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    Snell envelopes
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    stochastic variational inequalities
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    a priori estimates
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    American contingent claims
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    robustness
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    portfolio/consumption processes
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    Identifiers

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