The dynamic programming equation for second order stochastic target problems

DOI10.1137/07071130XMaRDI QIDQ3581024zbMATH OpenWikidataFDO

Authors Nizar Touzi, H. Mete Soner

Publication date 16 August 2010

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

gamma processviscosity solutionsstochastic target problemgeometric dynamic programming

Mathematics Subject Classification ID

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)

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Cited in

(16)

• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• Dynamic programming for stochastic target problems and geometric flows
• Dual formulation of second order target problems
• Quenched mass transport of particles toward a target
• Minimal supersolutions of BSDEs under volatility uncertainty
• Stochastic control/stopping problem with expectation constraints
• Hedging of covered options with linear market impact and gamma constraint
• Duality and convergence for binomial markets with friction
• Quasiconvex functions and nonlinear PDEs
• Time-inconsistent contract theory
• Almost-sure hedging with permanent price impact
• Understanding the dual formulation for the hedging of path-dependent options with price impact
• Option hedging for small investors under liquidity costs
• Optimal stopping with expectation constraints
• Wellposedness of second order backward SDEs
• Second-order stochastic target problems with generalized market impact

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