{"id":"https://openalex.org/W2077264691","doi":"https://doi.org/10.1137/080725222","title":"Numerical Approximation for a Superreplication Problem under Gamma Constraints","display_name":"Numerical Approximation for a Superreplication Problem under Gamma Constraints","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W2077264691","doi":"https://doi.org/10.1137/080725222","mag":"2077264691"},"language":"en","primary_location":{"id":"doi:10.1137/080725222","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080725222","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-00278077","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5001917610","display_name":"Olivier Bokanowski","orcid":"https://orcid.org/0000-0001-7108-2005"},"institutions":[{"id":"https://openalex.org/I4210158291","display_name":"Laboratoire Jacques-Louis Lions","ror":"https://ror.org/04xmteb38","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210158291"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Olivier Bokanowski","raw_affiliation_strings":["LJLL - Laboratoire Jacques-Louis Lions (Universit\u00e9 Pierre et Marie Curie, Bo\u00eete courrier 187 - 75252 Paris Cedex 05 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LJLL - Laboratoire Jacques-Louis Lions (Universit\u00e9 Pierre et Marie Curie, Bo\u00eete courrier 187 - 75252 Paris Cedex 05 - France)","institution_ids":["https://openalex.org/I4210158291"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5034679842","display_name":"Benjamin Bruder","orcid":null},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Benjamin Bruder","raw_affiliation_strings":["LPMA - Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires (France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"LPMA - Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires (France)","institution_ids":["https://openalex.org/I4210147464"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029417368","display_name":"Stefania Maroso","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es de l'\u00c9cole polytechnique","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Stefania Maroso","raw_affiliation_strings":["TOSCA (2004 route des Lucioles BP 93 F-06902 Sophia Antipolis (France) - France)","Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems (Centre de Math\u00e9matiques Appliqu\u00e9es Ecole Polytechnique Route de Saclay 91128 Palaiseau - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"TOSCA (2004 route des Lucioles BP 93 F-06902 Sophia Antipolis (France) - France)","institution_ids":[]},{"raw_affiliation_string":"Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems (Centre de Math\u00e9matiques Appliqu\u00e9es Ecole Polytechnique Route de Saclay 91128 Palaiseau - France)","institution_ids":["https://openalex.org/I4210107641","https://openalex.org/I142476485"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5008053184","display_name":"Hasnaa Zidani","orcid":"https://orcid.org/0000-0003-3583-6863"},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210107641","display_name":"Centre de Math\u00e9matiques Appliqu\u00e9es de l'\u00c9cole polytechnique","ror":"https://ror.org/012e1xn46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I142476485","https://openalex.org/I4210107641","https://openalex.org/I4210141950","https://openalex.org/I4210145102"]},{"id":"https://openalex.org/I4210132720","display_name":"Laboratoire d'Optique Appliqu\u00e9e","ror":"https://ror.org/03czns913","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I142476485","https://openalex.org/I201181511","https://openalex.org/I4210098836","https://openalex.org/I4210132720","https://openalex.org/I4210145102","https://openalex.org/I4210145102","https://openalex.org/I4405258625"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Hasnaa Zidani","raw_affiliation_strings":["Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems (Centre de Math\u00e9matiques Appliqu\u00e9es Ecole Polytechnique Route de Saclay 91128 Palaiseau - France)","OC - Optimisation et commande (828, boulevard des Mar\u00e9chaux 91762 Palaiseau Cedex - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems (Centre de Math\u00e9matiques Appliqu\u00e9es Ecole Polytechnique Route de Saclay 91128 Palaiseau - France)","institution_ids":["https://openalex.org/I4210107641","https://openalex.org/I142476485"]},{"raw_affiliation_string":"OC - Optimisation et commande (828, boulevard des Mar\u00e9chaux 91762 Palaiseau Cedex - France)","institution_ids":["https://openalex.org/I4210132720"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.7313,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.79768449,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"47","issue":"3","first_page":"2289","last_page":"2320"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.987500011920929,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9872999787330627,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8463218808174133},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.5886850357055664},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.5754780173301697},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5323615074157715},{"id":"https://openalex.org/keywords/scheme","display_name":"Scheme (mathematics)","score":0.5260474681854248},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.503170907497406},{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.49477618932724},{"id":"https://openalex.org/keywords/finite-difference-scheme","display_name":"Finite difference scheme","score":0.494214802980423},{"id":"https://openalex.org/keywords/finite-difference","display_name":"Finite difference","score":0.4365957975387573},{"id":"https://openalex.org/keywords/work","display_name":"Work (physics)","score":0.4321850836277008},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3920835852622986},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.26726865768432617},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.10070961713790894}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8463218808174133},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.5886850357055664},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.5754780173301697},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5323615074157715},{"id":"https://openalex.org/C77618280","wikidata":"https://www.wikidata.org/wiki/Q1155772","display_name":"Scheme (mathematics)","level":2,"score":0.5260474681854248},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.503170907497406},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.49477618932724},{"id":"https://openalex.org/C2988766672","wikidata":"https://www.wikidata.org/wiki/Q1147751","display_name":"Finite difference scheme","level":2,"score":0.494214802980423},{"id":"https://openalex.org/C181330731","wikidata":"https://www.wikidata.org/wiki/Q2068418","display_name":"Finite difference","level":2,"score":0.4365957975387573},{"id":"https://openalex.org/C18762648","wikidata":"https://www.wikidata.org/wiki/Q42213","display_name":"Work (physics)","level":2,"score":0.4321850836277008},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3920835852622986},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.26726865768432617},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.10070961713790894},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/080725222","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080725222","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.591.7066","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.591.7066","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://hal.archives-ouvertes.fr/docs/00/27/80/77/PDF/main.pdf","raw_type":"text"},{"id":"pmh:oai:HAL:hal-00278077v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00278077","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Numerical Analysis, 2009, 47 (3), pp.2289-2320. &#x27E8;10.1137/080725222&#x27E9;","raw_type":"Journal articles"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-00278077v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00278077","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Numerical Analysis, 2009, 47 (3), pp.2289-2320. &#x27E8;10.1137/080725222&#x27E9;","raw_type":"Journal articles"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W189913987","https://openalex.org/W1487586009","https://openalex.org/W1505284970","https://openalex.org/W1964377184","https://openalex.org/W1980822517","https://openalex.org/W1983345526","https://openalex.org/W1984328418","https://openalex.org/W1999545889","https://openalex.org/W2025951566","https://openalex.org/W2027438381","https://openalex.org/W2028145673","https://openalex.org/W2029948740","https://openalex.org/W2032316144","https://openalex.org/W2042683957","https://openalex.org/W2071059912","https://openalex.org/W2075749097","https://openalex.org/W2088299544","https://openalex.org/W2097820864","https://openalex.org/W2099438388","https://openalex.org/W2122914098","https://openalex.org/W2137824888","https://openalex.org/W2177195156","https://openalex.org/W2187194588","https://openalex.org/W2213161892","https://openalex.org/W2335457376","https://openalex.org/W2339733371","https://openalex.org/W2524415518","https://openalex.org/W2591048038","https://openalex.org/W3042562017","https://openalex.org/W3217405257","https://openalex.org/W4256344667"],"related_works":["https://openalex.org/W2085654163","https://openalex.org/W2330640442","https://openalex.org/W2983915667","https://openalex.org/W2372700288","https://openalex.org/W2392533133","https://openalex.org/W1520852618","https://openalex.org/W1975234065","https://openalex.org/W799252160","https://openalex.org/W2037087448","https://openalex.org/W4231701430"],"abstract_inverted_index":{"We":[0],"study":[1],"a":[2,23,26,31,37],"superreplication":[3],"problem":[4,18,24],"of":[5,33,71],"European":[6],"options":[7],"with":[8,30,44],"gamma":[9],"constraints":[10],"in":[11,63],"mathematical":[12],"finance.":[13],"The":[14],"initially":[15],"unbounded":[16],"control":[17],"is":[19,40,55],"set":[20,32],"back":[21],"to":[22,46],"involving":[25],"viscosity":[27],"PDE":[28],"solution":[29],"bounded":[34],"controls.":[35],"Then":[36],"numerical":[38],"approach":[39],"introduced,":[41],"unconditionally":[42],"stable":[43],"respect":[45],"the":[47,69],"mesh":[48],"steps.":[49],"A":[50],"generalized":[51],"finite":[52,59],"difference":[53],"scheme":[54],"used":[56],"since":[57],"basic":[58],"differences":[60],"cannot":[61],"work":[62],"our":[64,72],"case.":[65],"Numerical":[66],"tests":[67],"illustrate":[68],"validity":[70],"approach.":[73]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2016-06-24T00:00:00"}
