Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints

Alain Bensoussan, Nizar Touzi, José Luis Menaldi

Research output: Contribution to journalArticlepeer-review

Fingerprint

Dive into the research topics of 'Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints'. Together they form a unique fingerprint.

Mathematics