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most citedSensitivity analysis of utility-based prices and risk-tolerance wealth processes

89 citations · 145 across the 17 of their papers we have counts for

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math.OC2012

Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games

Erhan Bayraktar, Mihai Sirbu

We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a…