Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
DOI10.1007/S00245-003-0764-8zbMATH Open1025.49019OpenAlexW2063291625MaRDI QIDQ1401577FDOQ1401577
Authors: 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
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option pricingHamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman equationsstochastic optimal controlviscosity solutionsinterest rate dynamicsBlack-Scholes-Barenblatt equationforward rates
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
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- Maximum principles for infinite dimensional diffusion equations
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- Free boundary problem of Barenblatt equation in stochastic control
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- A free boundary problem arising from a stochastic optimal control model under controllable risk
- A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
- Path-dependent equations and viscosity solutions in infinite dimension
- Infinite-dimensional Black-Scholes equation with hereditary structure
- A fully nonlinear free boundary problem arising from optimal dividend and risk control model
- A free boundary problem arising from a stochastic optimal control model with bounded dividend rate
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