The convex envelope is the solution of a nonlinear obstacle problem
Work
Year: 2007
Type: article
Abstract: We derive a nonlinear partial differential equation for the convex envelope of a given function. The solution is interpreted as the value function of an optimal stochastic control problem. The equatio... more
Author Adam M. Oberman
Institution Simon Fraser University
Cites: 19
Cited by: 109
Related to: 10
FWCI: 2.788
Citation percentile (by year/subfield): 97.84
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze