stochastic perron’s method
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scholarly journals Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

2015 ◽  
Vol 53 (1) ◽  
pp. 91-113 ◽  
Author(s):  
Erhan Bayraktar ◽  
Yuchong Zhang
Keyword(s):  
Transaction Costs ◽  
Stochastic Perron’S Method ◽  
Ruin Problem

scholarly journals Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games

2014 ◽  
Vol 52 (3) ◽  
pp. 1693-1711 ◽  
Author(s):  
Mihai Sîrbu
Keyword(s):  
Differential Games ◽  
Zero Sum ◽  
Stochastic Perron’S Method

scholarly journals Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

2013 ◽  
Vol 51 (6) ◽  
pp. 4274-4294 ◽  
Author(s):  
Erhan Bayraktar ◽  
Mihai Sîrbu
Keyword(s):  
Bellman Equations ◽  
Hamilton Jacobi Bellman ◽  
Stochastic Perron’S Method

scholarly journals Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

2012 ◽  
Vol 140 (10) ◽  
pp. 3645-3654 ◽  
Author(s):  
Erhan Bayraktar ◽  
Mihai Sîrbu
Keyword(s):  
Linear Case ◽  
Stochastic Perron’S Method
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