Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem

DOI10.1007/s00245-014-9276-yzbMath1326.49015OpenAlexW2118776100MaRDI QIDQ887158

Naïma El Farouq, Pierre Bernhard

Publication date: 28 October 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01090616/file/ElFarouq-Bernhard-revision.pdf

zbMATH Keywords

uniquenessviscosity solutionrobust controloption pricingquasi-variational inequalityminimax impulse control problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Ordinary differential equations with impulses (34A37) Financial applications of other theories (91G80) Optimality conditions for minimax problems (49K35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

Related Items (1)

Degenerate First-Order Quasi-variational Inequalities: An Approach to Approximate the Value Function

Cites Work

• The interval market model in mathematical finance. Game-theoretic methods
• Deterministic minimax impulse control
• Robust Control Approach to Option Pricing: A Representation Theorem and Fast Algorithm
• Degenerate First-Order Quasi-variational Inequalities: An Approach to Approximate the Value Function
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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