NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS

DOI10.1142/S0219024906003561zbMath1154.91483OpenAlexW2088113366MaRDI QIDQ5483445

Agnès Tourin

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003561

zbMATH Keywords

stochastic controlfinite differenceviscosity solutionsmonotone approximationnonlinear degenerate parabolic equationgamma constraintssuper-replication problem

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

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• Viscosity solutions and applications. Lectures given at the 2nd session of the Centro Internazionale Matematico Estivo (CIME), Montecatini Terme, Italy, June 12-20, 1995
• The multi-dimensional super-replication problem under gamma constraints
• Two approximations of solutions of Hamilton-Jacobi equations
• User’s guide to viscosity solutions of second order partial differential equations
• Superreplication Under Gamma Constraints
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Splitting methods for Hamilton‐Jacobi equations

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