270 Index
N
nodal set, 53
nodal solution, 90
nonsolvable, 10,139
O
option, 7
call, 7
optimal control, 53
optimal control problem, 3,52
optimality system, 4
ordinally equivalent, 6
P
parabolicity, 104
degenerate, 104
super, 104
portfolio, 7
price
exercise, 7
fair, 8
problem,
optimal control, 3,52
Skorohod, 169
R
rate
appreciation, 7,208
interest, 7
recursive utlity, 5
reflected
B S D E , 171
F B S D E , 181
F S D E , 169
risk
-neutral, 227
premium, 8,227
S
semi-concave, 61
solution
adapted, 10,25,138
approximate, 54
nodal, 90
viscosity, 66
sub-, 66
super-, 66
solvable, 10,139
approximately, 54
stock, 7 subdifferential, 174
T target, 52 Theorem comparison, 22,214 martingale representation, 2
U utility current, 5 process, 5 recursive, 5
V value function, 58 lower, 233 upper, 233 viscosity solution, 66 subsolution, 66 supersolution, 66 volatility, 7,208
W weight vector, 6
Y Yosida approximation, 174