The Valuation of American Passport Options: A Viscosity Solution Approach

Journal of Optimization Theory and Applications ◽

10.1007/s10957-018-1411-5 ◽

2018 ◽

Vol 180 (2) ◽

pp. 608-633

Author(s):

Yang Wang ◽

Baojun Bian ◽

Zijiang Yang ◽

Jizhou Zhang

Keyword(s):

Viscosity Solution ◽

Solution Approach ◽

Passport Options

Download Full-text

A viscosity solution approach to valuation of passport options in a jump-diffusion model

10.1109/chicc.2008.4605901 ◽

2008 ◽

Author(s):

Baojun Bian ◽

Yang Wang

Keyword(s):

Diffusion Model ◽

Viscosity Solution ◽

Jump Diffusion ◽

Solution Approach ◽

Jump Diffusion Model ◽

Passport Options

Download Full-text

The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_15 ◽

1992 ◽

pp. 411-421

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Viscosity Solution ◽

Numerical Schemes ◽

Solution Approach

Download Full-text

A Viscosity Solution Approach to the Infinite-Dimensional HJB Equation Related to a Boundary Control Problem in a Transport Equation

SIAM Journal on Control and Optimization ◽

10.1137/050638813 ◽

2008 ◽

Vol 47 (2) ◽

pp. 1022-1052 ◽

Author(s):

Giorgio Fabbri

Keyword(s):

Control Problem ◽

Transport Equation ◽

Viscosity Solution ◽

Boundary Control ◽

Hjb Equation ◽

Solution Approach ◽

Infinite Dimensional ◽

Boundary Control Problem

Download Full-text

Deterministic Near-Optimal Controls. Part II: Dynamic Programming and Viscosity Solution Approach

Mathematics of Operations Research ◽

10.1287/moor.21.3.655 ◽

1996 ◽

Vol 21 (3) ◽

pp. 655-674 ◽

Author(s):

Xun Yu Zhou

Keyword(s):

Dynamic Programming ◽

Viscosity Solution ◽

Optimal Controls ◽

Solution Approach

Download Full-text

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

Finance and Stochastics ◽

10.1007/pl00013538 ◽

2001 ◽

Vol 5 (3) ◽

pp. 275-303 ◽

Author(s):

Fred Espen Benth ◽

Kenneth Hvistendahl Karlsen ◽

Kristin Reikvam

Keyword(s):

Differential Equations ◽

Portfolio Selection ◽

Viscosity Solution ◽

Optimal Portfolio ◽

Solution Approach ◽

Gradient Constraint ◽

Optimal Portfolio Selection

Download Full-text

Numerical solution to the optimal birth feedback control of a population dynamics: viscosity solution approach

Optimal Control Applications and Methods ◽

10.1002/oca.759 ◽

2005 ◽

Vol 26 (5) ◽

pp. 229-254 ◽

Author(s):

Bao-Zhu Guo ◽

Bing Sun

Keyword(s):

Population Dynamics ◽

Feedback Control ◽

Numerical Solution ◽

Viscosity Solution ◽

Solution Approach

Download Full-text

Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

Stochastics and Stochastics Reports ◽

10.1080/17442509308833860 ◽

1993 ◽

Vol 45 (3-4) ◽

pp. 145-176 ◽

Author(s):

Shanjian Tang ◽

Jiongmin Yong

Keyword(s):

Viscosity Solution ◽

Finite Horizon ◽

Optimal Switching ◽

Solution Approach ◽

Impulse Controls

Download Full-text

Dynamic Programming Viscosity Solution Approach and Its Applications to Optimal Control Problems

Studies in Systems, Decision and Control - Mathematics Applied to Engineering, Modelling, and Social Issues ◽

10.1007/978-3-030-12232-4_12 ◽

2019 ◽

pp. 363-420 ◽

Author(s):

Bing Sun ◽

Zhen-Zhen Tao ◽

Yang-Yang Wang

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Viscosity Solution ◽

Optimal Control Problems ◽

Control Problems ◽

Solution Approach

Download Full-text

The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach

Applied Mathematics & Optimization ◽

10.1007/s00245-009-9071-3 ◽

2009 ◽

Vol 60 (2) ◽

pp. 213-235 ◽

Author(s):

Brahim El Asri ◽

Said Hamadene

Keyword(s):

Viscosity Solution ◽

Finite Horizon ◽

Solution Approach

Download Full-text

Stochastic optimal multi-modes switching with a viscosity solution approach

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.09.007 ◽

2013 ◽

Vol 123 (2) ◽

pp. 579-602 ◽

Author(s):

Brahim El Asri

Keyword(s):

Viscosity Solution ◽

Solution Approach

Download Full-text