The dynamic programming equation for second order stochastic target problems
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Publication:3581024
DOI10.1137/07071130XzbMATH Open1229.91324WikidataQ57635928 ScholiaQ57635928MaRDI QIDQ3581024FDOQ3581024
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear parabolic equations (35K55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (16)
- Wellposedness of second order backward SDEs
- Duality and convergence for binomial markets with friction
- Option hedging for small investors under liquidity costs
- Second-Order Stochastic Target Problems with Generalized Market Impact
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Minimal supersolutions of BSDEs under volatility uncertainty
- Quasiconvex functions and nonlinear PDEs
- Quenched mass transport of particles toward a target
- Understanding the dual formulation for the hedging of path-dependent options with price impact
- Almost-sure hedging with permanent price impact
- Dynamic programming for stochastic target problems and geometric flows
- Stochastic control/stopping problem with expectation constraints
- Dual formulation of second order target problems
- Time-inconsistent contract theory
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint
- Optimal stopping with expectation constraints
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