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Stochastic targets with mixed diffusion processes and viscosity solutions

Author
BOUCHARD, Bruno1 2
[1] Laboratoire de Probabilités et Modèles Aléatoires, University Paris VI, Paris, France
[2] Crest, ENSAE, 15 Bd Gabriel Péri, 92245 Malakoff, France
Source

Stochastic processes and their applications. 2002, Vol 101, Num 2, pp 273-302 ; ref : 10 ref

CODEN
STOPB7
ISSN
0304-4149
Scientific domain
Computer science; Mathematics
Publisher
Elsevier Science, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Keyword (fr)
Assurance Commande stochastique Condition initiale Equation dérivée partielle Equation variationnelle Finance Mouvement brownien Mélange Processus diffusion Processus stochastique Solution viscosité Temps arrêt 60G05 60G99 60J60 Fonction Lipschitz Processus mixte Semicontinuité
Keyword (en)
Insurance Stochastic control Initial condition Partial differential equation Variational equation Finance Brownian motion Mixture Diffusion process Stochastic process Viscosity solution Stopping time Lipschitz function Mixed process Semicontinuity
Keyword (es)
Seguro Control estocástico Condición inicial Ecuación derivada parcial Ecuación variacional Finanza Movimiento browniano Mezcla Proceso difusión Proceso estocástico Solución viscosidad Tiempo parada
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E08 Partial differential equations

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E18 Calculus of variations and optimal control

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
13911889

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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