On the strong solution of a class of partial differential equations that arise in the pricing of mortgage backed securities

DOI10.4310/CMS.2011.V9.N4.A5zbMath1282.35010OpenAlexW2109766032MaRDI QIDQ389520

Nathaniel S. Barlow, Dervis Bayazit, Rana D. Parshad, V. Ramchandra Prasad

Publication date: 21 January 2014

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: http://intlpress.com/site/pub/pages/journals/items/cms/content/vols/0009/0004/a005/index.html

zbMATH Keywords

strong solution mild solution Fourier spectral method reduced modeling

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Initial value problems for second-order parabolic equations (35K15) Semilinear parabolic equations (35K58) Strong solutions to PDEs (35D35)

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