Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
type: Item
instance of: scholarly article
title: Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
zbMATH Open document ID: 1480.91295
DOI: 10.1134/S0005117921110163
published in: Automation and Remote Control
publication date: 2022-01-21T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7461119
zbMATH Keywords: guaranteed estimate
zbMATH Keywords: deterministic price dynamics
zbMATH Keywords: superreplication
zbMATH Keywords: option
zbMATH Keywords: Bellman-Isaacs equations
zbMATH Keywords: multivalued mapping
zbMATH Keywords: semicontinuity
zbMATH Keywords: continuity
zbMATH Keywords: robust no arbitrage condition
author: S. N. Smirnov
MaRDI profile type: Publication
cites work: A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
cites work: A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
cites work: A Feller transition kernel with measure supports given by a set-valued mapping
cites work: Q3260984
cites work: Q5722776
cites work: Stochastic finance. An introduction in discrete time.
cites work: Q4367585
cites work: Q5809478
cites work: Q4235027
full work available at URL: s0005117921110163
OpenAlex ID: W4200170647
description: scientific article; zbMATH DE number 7461119