Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions
Computational Finance
2015-10-19 v1 Mathematical Finance
Pricing of Securities
Abstract
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and discuss the properties of these PDEs. We also demonstrate how to solve them numerically in a general case, and analytically in some particular case.
Cite
@article{arxiv.1510.04899,
title = {Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions},
author = {Andrey Itkin},
journal= {arXiv preprint arXiv:1510.04899},
year = {2015}
}
Comments
20 pages, 3 figs