Anomalous PDEs in Markov chains: domains of validity and numerical solutions

DOI10.1007/s00780-005-0157-8zbMath1093.35017OpenAlexW1982526547MaRDI QIDQ2488493

Ragnar Norberg

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-005-0157-8

zbMATH Keywords

life insurancenon-smoothnessarbitrage pricing theorycontinuous-time Markov chainfirst-order PDEnumerical solutions to PDEs

Mathematics Subject Classification ID

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