Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/20M1314823
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1. Pricing and hedging derivative securities in markets with uncertain volatilities
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4. Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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