Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation (Q1401577)
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scientific article; zbMATH DE number 1966414
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation |
scientific article; zbMATH DE number 1966414 |
Statements
Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation (English)
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18 August 2003
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viscosity solutions
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Hamilton-Jacobi-Bellman equations
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stochastic optimal control
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option pricing
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forward rates
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Black-Scholes-Barenblatt equation
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Hamilton-Jacobi-Bellman equation
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interest rate dynamics
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0.89351517
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0.87762564
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0.8775341
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0.87711537
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0.87382066
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0.8728611
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