The dynamic programming equation for second order stochastic target problems

DOI10.1137/07071130XMaRDI QIDQ3581024zbMATH OpenWikidataFDO

Authors Nizar Touzi, H. Mete Soner

Publication date 16 August 2010

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/07071130X

zbMATH Keywords

gamma processgeometric dynamic programmingstochastic target problemviscosity solutions

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(16)

• Dynamic programming for stochastic target problems and geometric flows
• Dual formulation of second order target problems
• Understanding the dual formulation for the hedging of path-dependent options with price impact
• Quenched mass transport of particles toward a target
• Minimal supersolutions of BSDEs under volatility uncertainty
• Quasiconvex functions and nonlinear PDEs
• Almost-sure hedging with permanent price impact
• Duality and convergence for binomial markets with friction
• Wellposedness of second order backward SDEs
• Hedging of covered options with linear market impact and gamma constraint
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• Second-order stochastic target problems with generalized market impact
• Optimal stopping with expectation constraints
• Option hedging for small investors under liquidity costs
• Stochastic control/stopping problem with expectation constraints
• Time-inconsistent contract theory

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