NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS

DOI10.1142/S0219024906003561zbMath1154.91483MaRDI QIDQ5483445

Agnès Tourin

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic control; finite difference; viscosity solutions; monotone approximation; nonlinear degenerate parabolic equation; gamma constraints; super-replication problem

Mathematics Subject Classification ID

35K55: Nonlinear parabolic equations

35K65: Degenerate parabolic equations

93E20: Optimal stochastic control

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs

Cites Work

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• Splitting methods for Hamilton‐Jacobi equations