Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions

DOI10.1137/090773647zbMath1229.91373OpenAlexW2022061581MaRDI QIDQ2999826

Rüdiger Frey, Ulrike Polte

Publication date: 17 May 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090773647

zbMATH Keywords

convex risk measuresuncertain volatilitydynamical programming equationsilliquid markersnonlinear partila differentila equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) PDEs in connection with control and optimization (35Q93)

Related Items (7)

Lie symmetry analysis of a first-order feedback model of option pricing ⋮ Control of the Black-Scholes equation ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ A high-order finite difference method for option valuation ⋮ Symmetry reduction and exact solutions of the non-linear Black-Scholes equation ⋮ Power penalty method for solving HJB equations arising from finance ⋮ Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation

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