Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation

DOI10.1007/s00245-003-0764-8zbMath1025.49019OpenAlexW2063291625MaRDI QIDQ1401577

Djivede Kelome, Andrzej Świȩch

Publication date: 18 August 2003

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-003-0764-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationBlack-Scholes-Barenblatt equationstochastic optimal controloption pricingHamilton-Jacobi-Bellman equationsviscosity solutionsinterest rate dynamicsforward rates

Mathematics Subject Classification ID

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