Work

Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions

Year: 2015

Type: preprint

Abstract: We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and discuss the properties of these PDEs. We also demonstrate how to solve them numerically in a general case, and analytically in some particular case.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1510.04899

Author: Itkin, Andrey

Institution: New York University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2282005200

Cites: 6

Cited by:

Related to: 20