scientific article; zbMATH DE number 2134185
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Publication:3159347
Black-Scholes modelHamilton-Jacobi-Bellmann methodhedging contingent claims under portfolio constraintsregularity of the value functionstochastic control problemsverification methodviscosity solutions
Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01) Optimal stochastic control (93E20)
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