Found 14 Documents (Results 1–14)
A note on transition kernels for the most unfavourable mixed strategies of the market. (English) Zbl 07840823
A guaranteed deterministic approach to superhedging: the relationship between the deterministic and probabilistic problem statements without trading constraints. (English. Russian original) Zbl 1512.91154
Theory Probab. Appl. 67, No. 4, 548-569 (2023); translation from Teor. Veroyatn. Primen. 67, No. 4, 548-569 (2022).
Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium. (English. Russian original) Zbl 1510.91171
Autom. Remote Control 83, No. 12, 2019-2036 (2022); translation from Mat. Teor. Igr Prilozh. 12, No. 1, 60-90 (2020).
Guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behavior and the moment problem. (English. Russian original) Zbl 1508.91570
Autom. Remote Control 83, No. 11, 1820-1842 (2022); translation from Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020).
Guaranteed deterministic approach to superhedging: structural stability and approximation. (English. Russian original) Zbl 1489.91273
Comput. Math. Model. 32, No. 2, 129-146 (2021); translation from Prikl. Mat. Inf. 66, 25-45 (2021).
MSC:
91G20
Guaranteed deterministic approach to superhedging: a numerical experiment. (English. Russian original) Zbl 1489.91255
Comput. Math. Model. 32, No. 1, 22-44 (2021); translation from Prikl. Mat. Inf. 65, 31-60 (2021).
A guaranteed deterministic approach to superhedging: optimal mixed strategies of the market and their supports. (English) Zbl 1479.91417
Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 355-372 (2021).
Guaranteed deterministic approach to superhedging: case of binary European option. (English) Zbl 1482.91207
Guaranteed deterministic approach to superhedging: sensitivity of solutions of the Bellman-Isaacs equations and numerical methods. (English. Russian original) Zbl 1460.91277
Comput. Math. Model. 31, No. 3, 384-401 (2020); translation from Prikl. Mat. Inf. 63, 82-104 (2020).
MSC:
91G20
A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem. (Russian. English summary) Zbl 1458.91213
Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020); translation in Autom. Remote Control 83, No. 11, 1820-1842 (2022).
Reviewer: George Stoica (Saint John)
MSC:
91G20
A guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium. (Russian. English summary) Zbl 1444.91213
Mat. Teor. Igr Prilozh. 12, No. 1, 60-90 (2020); translation in Autom. Remote Control 83, No. 12, 2019-2036 (2022).
Filter Results by …
Document Type
- Journal Articles (13)
- Collection Articles (1)
all
top 5
Author
- Smirnov, Sergeĭ Nikolaevich (13)
- Andreev, N. A. (1)
- Carassus, Laurence (1)
- Obloj, Jan K. (1)
- Wiesel, Johannes C. W. (1)
- Zanochkin, Andrey Yu. (1)
all
top 5
Serial
- Comput. Math. Model. (3)
- Autom. Remote Control (2)
- Mat. Teor. Igr Prilozh. (2)
- J. Oper. Res. Soc. China (2)
- Theory Probab. Appl. (1)
- Abstr. Appl. Anal. (1)
- SIAM J. Financ. Math. (1)
- J. Math. (1)
