Convexity preserving for fully nonlinear parabolic integro-differential equations

DOI10.4310/MAA.2008.V15.N1.A5zbMath1225.35057MaRDI QIDQ1027116

Baojun Bian, Pengfei Guan

Publication date: 30 June 2009

Published in: Methods and Applications of Analysis (Search for Journal in Brave)

zbMATH Keywords

pricing of financial derivativesoptimal portfolio selection

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for nonlinear higher-order PDEs (35G25) Portfolio theory (91G10) Qualitative properties of solutions to partial differential equations (35B99) Integro-partial differential equations (35R09)

Related Items (7)

Parabolic Minkowski convolutions of solutions to parabolic boundary value problems ⋮ Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem ⋮ On shape preserving semigroups ⋮ Generalized semiconcavity of the value function of a jump diffusion optimal control problem ⋮ Stochastic ordering by \(g\)-expectations ⋮ \( G\)-expectation approach to stochastic ordering ⋮ The Existence of Optimal Bang-Bang Controls for GMxB Contracts

This page was built for publication: Convexity preserving for fully nonlinear parabolic integro-differential equations