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)
35K55: Nonlinear parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
49J20: Existence theories for optimal control problems involving partial differential equations
91G10: Portfolio theory
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