Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics

DOI10.1007/s10958-010-9930-0zbMath1288.35492OpenAlexW2114794615MaRDI QIDQ2452612

Yana I. Belopolskaya

Publication date: 4 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-010-9930-0

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (1)

Probability and statistics. Part 7. Transl. from the Russian

Cites Work

• Liquidity risk and arbitrage pricing theory
• Quasilinear parabolic equations and measures in function space
• Market Volatility and Feedback Effects from Dynamic Hedging
• Functional Integration and Partial Differential Equations. (AM-109)
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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