"Control of reflecting directions for SDEs and pricing of
 barrier options under constraints"

         Bruno Bouchard, Université Paris 6

Abstract:
We introduce a new class of control problems in which the gain depends 
on the solution of a stochastic differential equation reflected  at the
boundary of a bounded domain,  along   directions which are controlled 
by a bounded variation process. We provide a PDE characterization of the
associated value function. This study is motivated by applications in
mathematical finance where such equations are related to the pricing of
barrier options under portfolio constraints.