Numerical solution of a nonlinear evolution equation for the risk preference

DOI10.1007/978-3-642-18466-6_53MaRDI QIDQ3075296zbMATH OpenOpenAlexFDO

Authors Naoyuki Ishimura, Miglena N. Koleva, Lubin G. Vulkov

Publication date 11 February 2011

Published in Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18466-6_53

Mathematics Subject Classification ID

Traveling wave solutions (35C07) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Method of lines for boundary value problems involving PDEs (65N40) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Financial applications of other theories (91G80)

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Cites work

• Convergence of Rothe's method for fully nonlinear parabolic equations
• Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
• Existence of solutions to initial value problem for a parabolic Monge-Ampère equation and application
• scientific article; zbMATH DE number 5773758 (Why is no real title available?)
• scientific article; zbMATH DE number 1565421 (Why is no real title available?)
• scientific article; zbMATH DE number 1911377 (Why is no real title available?)
• scientific article; zbMATH DE number 3225686 (Why is no real title available?)
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Risk Aversion in the Small and in the Large
• Two-grid quasilinearization approach to ODEs with applications to model problems in physics and mechanics

Cited in

(5)

• On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• Note on a nonlinear evolution equation for the risk preference
• scientific article; zbMATH DE number 1989772 (Why is no real title available?)

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