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 solution; stochastic control; superreplication; stochastic analysis; gamma constraint

Mathematics Subject Classification ID

35K55: Nonlinear parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

49J20: Existence theories for optimal control problems involving partial differential equations

91G10: Portfolio theory

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