Existence of maximal solutions for the financial stochastic Stefan problem of a volatile asset with spread
DOI10.1016/J.SPA.2024.104506MaRDI QIDQ6658925
D. C. Antonopoulou, Georgia Karali, Dimitris Farazakis
Publication date: 8 January 2025
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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