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Stochastic Target Problems with Controlled Loss - MaRDI portal

Stochastic Target Problems with Controlled Loss (Q3162580)

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Stochastic Target Problems with Controlled Loss
scientific article

    Statements

    title
    Stochastic Target Problems with Controlled Loss (English)
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    author
    Bruno Bouchard
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    Romuald Elie
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    Nizar Touzi
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    publication date
    20 October 2010
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    zbMATH Keywords
    stochastic target problem
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    discontinuous viscosity solutions
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    quantile hedging
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    Identifiers

    DOI
    10.1137/08073593X
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    Mathematics Subject Classification ID
    49L25
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    60J60
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    49L20
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    35K55
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    93E20
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    zbMATH DE Number
    5802854
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    OpenAlex ID
    W2115526061
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