Numerical Approximation for a Superreplication Problem under Gamma Constraints (Q3578075)

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Numerical Approximation for a Superreplication Problem under Gamma Constraints
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    Numerical Approximation for a Superreplication Problem under Gamma Constraints (English)
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    13 July 2010
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    superreplication problem
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    viscosity solution
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    numerical approximation
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    generalized finite difference scheme
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    monotone scheme
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    Howard's algorithm
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