Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions

Andrey Itkin ()

Papers from arXiv.org

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.

Date: 2015-10
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