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History Path Dependent Optimal Control and Portfolio Valuation and Management · Study

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ArticleHistory Path Dependent Optimal Control and Portfolio Valuation and Management

Jean‐Pierre Aubin2002

Article2002

History Path Dependent Optimal Control and Portfolio Valuation and Management

Jean‐Pierre Aubin

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Stochastic processes and financial applications Optimization and Variational Analysis Risk and Portfolio Optimization

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2002Dynamic programming for stochastic target problems and geometric flows 2002Stochastic target problems, dynamic programming, and viscosity solutions 2000Superreplication Under Gamma Constraints

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2005Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty

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2005The multi-dimensional super-replication problem under gamma constraintsarticle · 3 shared references 2009The Dynamic Programming Equation for Second Order Stochastic Target Problemsarticle · 3 shared references 2009The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraintsarticle · 3 shared references 2012Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidationarticle · 3 shared references 2009Stochastic Target Problems with Controlled Lossarticle · 2 shared references 2010Optimal Control under Stochastic Target Constraintsarticle · 2 shared references

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Year2002

Typearticle

Published2002-09-01

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ISSN-L1385-1292

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1020244921138

openalex_workW45139390

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