Stochastic targets with mixed diffusion processes and viscosity solutions.

DOI10.1016/S0304-4149(02)00129-1zbMath1075.60557OpenAlexW2051220807MaRDI QIDQ2574513

Bruno Bouchard

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00129-1

zbMATH Keywords

stochastic controlviscosity solutionssuper-replicationmathematical finance and insurancemixed diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (9)

Stochastic Perron for stochastic target problems ⋮ Diffusive limit approximation of pure-jump optimal stochastic control problems ⋮ A stochastic target problem for branching diffusion processes ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints ⋮ A stochastic target formulation for optimal switching problems in finite horizon ⋮ On the controller-stopper problems with controlled jumps ⋮ Dynamic programming and error estimates for stochastic control problems with maximum cost ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models

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• Superreplication Under Gamma Constraints
• On the Existence of Pure and Mixed Strategy Nash Equilibria in Discontinuous Games
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

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