The Dynamic Programming Equation for Second Order Stochastic Target Problems

DOI10.1137/07071130XzbMATH Open1229.91324WikidataQ57635928 ScholiaQ57635928MaRDI QIDQ3581024FDOQ3581024

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)

Cited In (15)

• 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
• 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

This page was built for publication: The Dynamic Programming Equation for Second Order Stochastic Target Problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3581024)