A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
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Publication:1630416
DOI10.1007/s00245-017-9413-5zbMath1404.93033arXiv1512.09189OpenAlexW2949482391MaRDI QIDQ1630416
Géraldine Bouveret, Jean-François Chassagneux
Publication date: 10 December 2018
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.09189
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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