Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
From MaRDI portal
Publication:3467559
DOI10.1080/03605302.2015.1053916zbMath1366.91144arXiv1212.6275OpenAlexW1914758076WikidataQ57635860 ScholiaQ57635860MaRDI QIDQ3467559
Nizar Touzi, Dylan Possamaï, Halil Mete Soner
Publication date: 3 February 2016
Published in: Communications in Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.6275
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Asymptotic expansions of solutions to PDEs (35C20) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)
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