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History Path Dependent Optimal Control and Portfolio Valuation and Management
3 references·1 citing·20 second hopsampled
History Path Dependent Optimal Control and Portfolio Valuation and Management (2002)History Path Dependent Optimal Control an…Stochastic target problems, dynamic programming, and viscosity solutions (2002)Stochastic target problems, d…Dynamic programming for stochastic target problems and geometric flows (2002)Dynamic programming for stoch…Superreplication Under Gamma Constraints (2000)Superreplication Under Gamma …Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty (2005)Dynamic Management of Portfol…Liens entre équations différentielles stochastiques et ordinaires (1977)There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)Arbitrage Theory in Continuous Time (1998)The Robust Control Approach to Option Pricing and Interval Models: An Overview (2005)Robust Control Approach to Option Pricing, Including Transaction Costs (2007)The Interval Market Model in Mathematical Finance (2012)Methods of Mathematical Finance (1998)Continuous Martingales and Brownian Motion (1999)Controlled Markov Processes and Viscosity Solutions (2005)Option hedging for small investors under liquidity costs (2009)Superreplication under volatility uncertainty for measurable claims (2013)Backward Stochastic Differential Equations in Finance (1997)On some recent aspects of stochastic control and their applications (2005)Stochastic Target Problems with Controlled Loss (2009)Optimal Control under Stochastic Target Constraints (2010)The Pricing of Options and Corporate Liabilities (1973)Explicit solution to the multivariate super-replication problem under transaction costs (2000)Stochastic Integration and Differential Equations (2005)The multi-dimensional super-replication problem under gamma constraints (2005)Brownian Motion and Stochastic Calculus (2007)
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References

  • 2002Dynamic programming for stochastic target problems and geometric flows160 cited
  • 2002Stochastic target problems, dynamic programming, and viscosity solutions121 cited
  • 2000Superreplication Under Gamma Constraints81 cited

Cited by

  • 2005Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty50 cited

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