Numerical approximation for a superreplication problem under gamma constraints

DOI10.1137/080725222MaRDI QIDQ3578075zbMATH OpenOpenAlexFDO

Authors Olivier Bokanowski, Benjamin Bruder, Stefania Maroso, Hasnaa Zidani

Publication date 13 July 2010

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080725222

zbMATH Keywords

generalized finite difference schemeHoward's algorithmmonotone schemenumerical approximationsuperreplication problemviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• The multi-dimensional super-replication problem under gamma constraints
• State-constrained stochastic optimal control problems via reachability approach
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Superreplication Under Gamma Constraints
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
• A numerical scheme for the quantile hedging problem

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