A stochastic target problem for branching diffusion processes
DOI10.1016/j.spa.2023.104278arXiv2206.13267MaRDI QIDQ6123265
Idris Kharroubi, Antonio Ocello
Publication date: 4 March 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.13267
Hamilton-Jacobi-Bellman equationviscosity solutiondynamic programming principlebranching diffusion processfintechcryptocurrencies optionsstochastic target control
Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)
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