Existence of maximal solutions for the financial stochastic Stefan problem of a volatile asset with spread

arXiv2302.09841MaRDI QIDQ6427009

Dimitra Antonopoulou, Georgia Karali, Dimitris Farazakis

Publication date: 20 February 2023

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order parabolic systems (35K40)

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