Exact null controllability of a semilinear parabolic equation arising in finance

DOI10.1016/J.NAHS.2009.04.007MaRDI QIDQ1036641zbMATH OpenOpenAlexFDO

Authors G. Devipriya, Kumarasamy Sakthivel, Krishnan Balachandran, Jeong-Hoon Kim

Publication date 13 November 2009

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2009.04.007

zbMATH Keywords

Black-Scholes equationCarleman estimatescontrollabilityobservability

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Portfolio theory (91G10) Controllability (93B05) Transformations (93B17)

Recommendations

• scientific article; zbMATH DE number 4011323
• scientific article; zbMATH DE number 7376237
• scientific article; zbMATH DE number 781295
• scientific article; zbMATH DE number 5620944
• Null controllability of semilinear parabolic equations via the bilinear control
• Finite dimensional null controllability for the semilinear heat equation
• Null controllability for forward and backward stochastic parabolic equations
• On the controllability problem arising in financial mathematics
• Null controllability of semilinear degenerate parabolic equations in bounded domains
• scientific article; zbMATH DE number 6418065

Cites work

• A Black--Scholes option pricing model with transaction costs
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Constrained controllability of semilinear systems with multiple delays in control
• Controllability of parabolic equations
• Contróle Exact De Léquation De La Chaleur
• Exact controllability for semilinear parabolic equations with Neumann boundary conditions
• Exact controllability of nonlinear diffusion equations arising in reactor dynamics
• Exact controllability of the superlinear heat equation
• Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
• Far field boundary conditions for Black-Scholes equations
• scientific article; zbMATH DE number 1824683 (Why is no real title available?)
• scientific article; zbMATH DE number 5620944 (Why is no real title available?)
• scientific article; zbMATH DE number 47671 (Why is no real title available?)
• scientific article; zbMATH DE number 193187 (Why is no real title available?)
• scientific article; zbMATH DE number 804853 (Why is no real title available?)
• scientific article; zbMATH DE number 928680 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Null controllability of a nonlinear heat equation
• Null controllability of the semilinear heat equation
• On a class of non-linear parabolic control systems with memory effects
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Sharp Sufficient Conditions for the Observation, Control, and Stabilization of Waves from the Boundary
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(5)

• On the controllability problem arising in financial mathematics
• scientific article; zbMATH DE number 5620944 (Why is no real title available?)
• On one boundary problem for nonlinear stationary controlled system
• Approximate controllability of neutral fractional stochastic differential systems with control on the boundary
• Controllability and hedgibility of Black-Scholes equations with \(N\) stocks

This page was built for publication: Exact null controllability of a semilinear parabolic equation arising in finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1036641)