Search Results - subject:"Comparison principle"

A comparison principle based on couplings of partial integro-differential operators

Della Corte, Serena; Fuchs, Fabian; Kraaij, Richard; … - 2024

This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB …, difference, and integral operators. (3) We strengthen the sup-norm contractivity resulting from the comparison principle to one …

Persistent link: https://www.econbiz.de/10015117589

A comparison principle based on couplings of partial integro-differential operators

Della Corte, Serena; Fuchs, Fabian; Kraaij, Richard; … - 2024

Persistent link: https://www.econbiz.de/10015101729

Optimal liquidation problems and HJB equations with singular terminal condition

Graewe, Paulwin - 2017

Persistent link: https://www.econbiz.de/10012613268

A comparison principle between rough and non-rough Heston models - with applications to the volatility surface

Keller-Ressel, M.; Majid, Assad - In: Quantitative finance 20 (2020) 6, pp. 919-933

Persistent link: https://www.econbiz.de/10012262636

Utility maximisation in a factor model with constant and proportional transaction costs

Belak, Christoph; Christensen, Sören - In: Finance and stochastics 23 (2019) 1, pp. 29-96

Persistent link: https://www.econbiz.de/10012023241

Existence of the limit value of two person zero-sum discounted repeated games via comparison theorems

Vigeral, Guillaume; Sorin, Sylvain - Université Paris-Dauphine (Paris IX) - 2013

We give new proofs of existence of the limit of the discounted values for two person zero-sum games in the following frameworks: incomplete information, absorbing, recursive. The idea of these new proofs is to use some comparison criteria.

Persistent link: https://www.econbiz.de/10010706592

Regularity properties in a state-constrained expected utility maximization problem

Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240

Persistent link: https://www.econbiz.de/10011935660

Effect of volatility clustering on indifference pricing of options by convex risk measures

Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82

Persistent link: https://www.econbiz.de/10010505169

Differential games with asymmetric and correlated information

Oliu-Barton, Miquel - In: Dynamic games and applications : DGA 5 (2015) 3, pp. 378-396

Persistent link: https://www.econbiz.de/10011547161

Exponential stability in terms of two measures of impulsive stochastic functional differential systems via comparison principle

Yao, Fengqi; Deng, Feiqi - In: Statistics & Probability Letters 82 (2012) 6, pp. 1151-1159

In this paper, based on like-Lyapunov functions and comparison principles, several criteria on the exponential stability in terms of two measures of impulsive stochastic functional differential systems with infinite or finite delays are obtained. The results improve and complement those in...

Persistent link: https://www.econbiz.de/10010571822