NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
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Publication:5483445
DOI10.1142/S0219024906003561zbMath1154.91483OpenAlexW2088113366MaRDI QIDQ5483445
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003561
stochastic controlfinite differenceviscosity solutionsmonotone approximationnonlinear degenerate parabolic equationgamma constraintssuper-replication problem
Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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