Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints

DOI10.1137/070697161zbMath1165.93036OpenAlexW2237594134MaRDI QIDQ5320740

Bruno Bouchard

Publication date: 22 July 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/1930

zbMATH Keywords

Skorokhod problemviscosity solutionsportfolio constraintsbarrier optionreflected diffusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic processes (60G99) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Some applications of linear programming formulations in stochastic control ⋮ A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions ⋮ First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

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