Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets

DOI10.1016/j.na.2005.03.068zbMath1074.35058OpenAlexW2081585348MaRDI QIDQ2486634

Bertram Düring, Ansgar Jüngel

Publication date: 5 August 2005

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.03.068

zbMATH Keywords

Existence and uniqueness of solutionsIncomplete financial marketsFixed point argument

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (7)

Option prices under liquidity risk as weak solutions of semilinear diffusion equations ⋮ Unnamed Item ⋮ Optimal control of harvesting in a stochastic metapopulation model ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Controllability and hedgibility of Black-Scholes equations with \(N\) stocks ⋮ Nash equilibria in N‐person games with super‐quadratic Hamiltonians ⋮ Exact null controllability of a semilinear parabolic equation arising in finance

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