Superreplication Under Gamma Constraints
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Publication:4507445
DOI10.1137/S0363012998348991zbMath0960.91036WikidataQ57635970 ScholiaQ57635970MaRDI QIDQ4507445
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10)
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