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20152021
most citedSuper-replication with proportional transaction cost under model uncertainty

12 citations · 16 across the 4 of their papers we have counts for

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math.AP2021

Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability

Bruno Bouchard, Grégoire Loeper, Xiaolu Tan

We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, compa…