Convexity preserving for fully nonlinear parabolic integro-differential equations

DOI10.4310/MAA.2008.V15.N1.A5zbMATH Open1225.35057MaRDI QIDQ1027116FDOQ1027116

Authors: Baojun Bian, Pengfei Guan 

Publication date: 30 June 2009

Published in: Methods and Applications of Analysis (Search for Journal in Brave)

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• scientific article; zbMATH DE number 775008

zbMATH Keywords

optimal portfolio selectionpricing of financial derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Initial value problems for nonlinear higher-order PDEs (35G25) Nonlinear parabolic equations (35K55) Integro-partial differential equations (35R09) Qualitative properties of solutions to partial differential equations (35B99)

Cited In (9)

• Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
• The existence of optimal bang-bang controls for GMxB contracts
• Stochastic ordering by \(g\)-expectations
• On shape preserving semigroups
• Preservation of convexity of solutions to parabolic equations
• Parabolic Minkowski convolutions of solutions to parabolic boundary value problems
• Quasiconvexity preserving property for fully nonlinear nonlocal parabolic equations
• Generalized semiconcavity of the value function of a jump diffusion optimal control problem
• \( G\)-expectation approach to stochastic ordering

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