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

MaRDI QIDQ3540359zbMATH OpenFDO

Authors Hitoshi Imai, Naoyuki Ishimura, Masahiro Kushida

Publication date 20 November 2008

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)

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• 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
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• 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

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