Convexity preserving for fully nonlinear parabolic integro-differential equations

DOI10.4310/MAA.2008.V15.N1.A5MaRDI QIDQ1027116zbMATH OpenFDO

Authors Baojun Bian, Pengfei Guan

Publication date 30 June 2009

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

Full work available at URL https://doi.org/10.4310/MAA.2008.V15.N1.A5

zbMATH Keywords

optimal portfolio selectionpricing of financial derivatives

Mathematics Subject Classification ID

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

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Cited in

(9)

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

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