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Second-Order Stochastic Target Problems with Generalized Market Impact - MaRDI portal

Second-Order Stochastic Target Problems with Generalized Market Impact (Q5205387)

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scientific article; zbMATH DE number 7142347
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English
Second-Order Stochastic Target Problems with Generalized Market Impact
scientific article; zbMATH DE number 7142347

    Statements

    title
    Second-Order Stochastic Target Problems with Generalized Market Impact (English)
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    author
    Bruno Bouchard
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    Grégoire Loeper
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    Chao Zhou
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    Halil Mete Soner
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    publication date
    11 December 2019
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    zbMATH Keywords
    second-order stochastic target
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    generalized market impact
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    fully nonlinear parabolic equation
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    asymptotic expansion
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    cites work
    Q5520962
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    Q5187597
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    Q4354424
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    Identifiers

    DOI
    10.1137/18M1196078
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    Mathematics Subject Classification ID
    91G20
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    93E20
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    35Q92
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    41A60
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    zbMATH DE Number
    7142347
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    arXiv ID
    1806.08533
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    Wikidata QID
    Q126528720
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