Continuous dependence estimates for viscosity solutions of integro-PDEs

DOI10.1016/j.jde.2004.06.021zbMath1082.45008OpenAlexW2129143375MaRDI QIDQ1779287

Espen R. Jakobsen, Kenneth Hvistendahl Karlsen

Publication date: 1 June 2005

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2004.06.021

zbMATH Keywords

regularitysingular perturbationBellman equationviscosity solutionoption pricingvanishing viscosity methodBlack-Scholes modelobstacle problemIsaacs equationcontinuous dependence estimatesLévy modelnonlinear degenerate parabolic integro-partial differential equationvanishing jump viscosity method

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Microeconomic theory (price theory and economic markets) (91B24) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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