Numerical treatment of a singular nonlinear partial differential equation arising in the optimal investment

zbMATH Open1213.91172MaRDI QIDQ3540359FDOQ3540359

Authors: Hitoshi Imai, Naoyuki Ishimura, Masahiro Kushida 

Publication date: 20 November 2008

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zbMATH Keywords

numerical schemenonlinear PDEfixed point approachnumerical implementationabsolute risk aversion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Cited In (7)

• Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects
• Numerical analysis of a nonlinear operator equation arising from a monetary model
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Numerical solution of a nonlinear evolution equation for the risk preference
• Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• Note on a nonlinear evolution equation for the risk preference

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