scholarly journals Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

2017 ◽  
Vol 49 (5) ◽  
pp. 4093-4116 ◽  
Author(s):  
Zhenjie Ren ◽  
Nizar Touzi ◽  
Jianfeng Zhang
Keyword(s):  
Viscosity Solutions ◽  
Fully Nonlinear ◽  
Degenerate Parabolic ◽  
Path Dependent ◽  
Nonlinear Degenerate

scholarly journals Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I

2016 ◽  
Vol 44 (2) ◽  
pp. 1212-1253 ◽  
Author(s):  
Ibrahim Ekren ◽  
Nizar Touzi ◽  
Jianfeng Zhang
Keyword(s):  
Viscosity Solutions ◽  
Fully Nonlinear ◽  
Nonlinear Parabolic ◽  
Path Dependent

NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS

2006 ◽  
Vol 09 (03) ◽  
pp. 401-414
Author(s):  
AGNÈS TOURIN
Keyword(s):  
Parabolic Equation ◽  
Control Problem ◽  
Stochastic Control ◽  
Degenerate Parabolic Equation ◽  
Numerical Solutions ◽  
Contingent Claim ◽  
Fully Nonlinear ◽  
Degenerate Parabolic ◽  
Nonlinear Degenerate ◽  
Stable Approximation

We solve, by using a monotone and stable approximation, the fully nonlinear degenerate parabolic equation derived by Cheridito, Soner and Touzi [8] from the stochastic control problem of super-replicating a contingent claim under gamma constraints. We present some numerical results.

scholarly journals Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II

2016 ◽  
Vol 44 (4) ◽  
pp. 2507-2553 ◽  
Author(s):  
Ibrahim Ekren ◽  
Nizar Touzi ◽  
Jianfeng Zhang
Keyword(s):  
Viscosity Solutions ◽  
Fully Nonlinear ◽  
Nonlinear Parabolic ◽  
Path Dependent
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