In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate… (More)

We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new… (More)

The aim of this work is to revisit viscosity solutions’ theory for second-order elliptic integrodifferential equations and to provide a general framework which takes into account solutions with… (More)

Recently I. Capuzzo Dolcetta, F. Leoni and A. Porretta obtain a very surprising regularity result for fully nonlinear, superquadratic, elliptic equations by showing that viscosity subsolutions of… (More)

In this article, we study the large time behavior of solutions of first-order Hamilton-Jacobi Equations, set in a bounded domain with nonlinear Neumann boundary conditions, including the case of… (More)

We prove comparison results between viscosity sub and supersolutions of degenerate elliptic and parabolic equations associated to, possibly non-linear, Neumann boundary conditions. These results are… (More)

In this article, we consider the analogue of the Dirichlet problem for second-order elliptic integro-differential equations, which consists in imposing the “boundary conditions” in the whole… (More)

We present a new stability result for viscosity solutions of fully nonlinear parabolic equations which allows to pass to the limit when one has only weak convergence in time of the nonlinearities. To… (More)