Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes

DOI10.1080/10451120310001641135zbMath1043.60033OpenAlexW2009296937MaRDI QIDQ4464389

Akaki Danelia, Malkhaz Shashiashvili, Besarion Dochviri

Publication date: 27 May 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120310001641135

zbMATH Keywords

robustnessa priori estimatesstochastic variational inequalitiesAmerican contingent claimsSnell envelopesportfolio/consumption processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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