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

DOI10.1007/S00245-003-0764-8MaRDI QIDQ1401577zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingHamilton-Jacobi-Bellman equationHamilton-Jacobi-Bellman equationsstochastic optimal controlviscosity solutionsinterest rate dynamicsBlack-Scholes-Barenblatt equationforward rates

Mathematics Subject Classification ID

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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Cited in

(14)

• Path-dependent equations and viscosity solutions in infinite dimension
• Integro-PDE in Hilbert spaces: existence of viscosity solutions
• A free boundary problem arising from a stochastic optimal control model with bounded dividend rate
• Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
• A free boundary problem arising from a stochastic optimal control model under controllable risk
• A stochastic control problem with delay arising in a pension fund model
• A fully nonlinear free boundary problem arising from optimal dividend and risk control model
• Infinite-dimensional Black-Scholes equation with hereditary structure
• Maximum principles for infinite dimensional diffusion equations
• A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
• Free boundary problem of Barenblatt equation in stochastic control
• Numerical methods for non-linear Black-Scholes equations
• An approximation scheme for Black-Scholes equations with delays
• Mild solutions of semilinear elliptic equations in Hilbert spaces

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