An initial-boundary value problem for parabolic Monge-Ampère equation in mathematical finance
DOI10.1007/S11401-016-0973-5zbMATH Open1352.35196OpenAlexW2510010123MaRDI QIDQ335038FDOQ335038
Authors: Changyu Ren, Ming Li 
Publication date: 2 November 2016
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11401-016-0973-5
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) A priori estimates in context of PDEs (35B45) Smoothness and regularity of solutions to PDEs (35B65) Parabolic Monge-Ampère equations (35K96) Financial applications of other theories (91G80)
Cites Work
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- The dirichlet problem for nonlinear second-order elliptic equations I. Monge-ampégre equation
- Existence of solutions to initial value problem for a parabolic Monge-Ampère equation and application
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Cited In (12)
- The stability of an equation from mathematical finance without the boundary value condition
- A parabolic problem arising in financial mathematics
- Numerical solution of a parabolic problem arising in finance
- Initial boundary value problem of an equation from mathematical finance
- A non-local free boundary problem arising in a theory of financial bubbles
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- Title not available (Why is that?)
- Title not available (Why is that?)
- A numerical study of a parabolic Monge-Ampère equation in mathematical finance
- Distribution-valued weak solutions to a parabolic problem arising in financial mathematics
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