Second-Order Stochastic Target Problems with Generalized Market Impact
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Publication:5205387
DOI10.1137/18M1196078zbMath1430.91106arXiv1806.08533WikidataQ126528720 ScholiaQ126528720MaRDI QIDQ5205387
Bruno Bouchard, Grégoire Loeper, Chao Zhou, Halil Mete Soner
Publication date: 11 December 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.08533
asymptotic expansionfully nonlinear parabolic equationgeneralized market impactsecond-order stochastic target
PDEs in connection with biology, chemistry and other natural sciences (35Q92) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
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