NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (Q5483445)
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scientific article; zbMATH DE number 5045376
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS |
scientific article; zbMATH DE number 5045376 |
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NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (English)
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14 August 2006
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nonlinear degenerate parabolic equation
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stochastic control
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finite difference
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monotone approximation
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viscosity solutions
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super-replication problem
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gamma constraints
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