OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS

DOI10.1142/S0219024920500247zbMath1447.91178arXiv2003.06903OpenAlexW3021236637MaRDI QIDQ3304213

Alexander Lipton-Lifschitz

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.06903

zbMATH Keywords

Stefan problemOrnstein-Uhlenbeck processAbel integral equationVolterra integral equationpairs tradingfirst hitting time densitystructural default modelCherkasov conditionintegrate-and-fire neuron excitation modelmethod of heat potentialsstability of banking system

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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