32 citations · 67 across the 24 of their papers we have counts for
4 papers · 1 filter
An integral equation for Root's barrier and the generation of Brownian increments
Paul Gassiat, Aleksandar Mijatović, Harald Oberhauser
We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate boun…
Stochastic control with rough paths
Joscha Diehl, Peter Friz, Paul Gassiat
We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum p…
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
Paul Gassiat, Harald Oberhauser, Goncalo dos Reis
We revisit work of Rost, Dupire and Cox--Wang on connections between Root's solution of the Skorokhod embedding problem and obstacle problems. We develop an approach based on visco…
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Salvatore Federico, Paul Gassiat, Fausto Gozzi
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., i…