Numerical Solution of a Nonlinear Evolution Equation for the Risk Preference

DOI10.1007/978-3-642-18466-6_53zbMath1318.65076OpenAlexW1558111175MaRDI QIDQ3075296

Miglena N. Koleva, Naoyuki Ishimura, Lubin G. Vulkov

Publication date: 11 February 2011

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

Full work available at URL: https://doi.org/10.1007/978-3-642-18466-6_53

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Method of lines for boundary value problems involving PDEs (65N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Traveling wave solutions (35C07)

Related Items (2)

On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

Cites Work

• Two-grid quasilinearization approach to ODEs with applications to model problems in physics and mechanics
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
• Existence of solutions to initial value problem for a parabolic Monge-Ampère equation and application
• Convergence of Rothe's method for fully nonlinear parabolic equations
• Risk Aversion in the Small and in the Large
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