Superreplication Under Gamma Constraints

DOI10.1137/S0363012998348991zbMath0960.91036WikidataQ57635970 ScholiaQ57635970MaRDI QIDQ4507445

Nizar Touzi, Halil Mete Soner

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionstochastic controlsuperreplicationstochastic analysisgamma constraint

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10)

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