Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type

DOI10.1016/J.NONRWA.2010.10.003MaRDI QIDQ533028zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 2 May 2011

Published in Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nonrwa.2010.10.003

zbMATH Keywords

viscosity solutions

Mathematics Subject Classification ID

Quasilinear parabolic equations (35K59) Comparison principles in context of PDEs (35B51) Hypoelliptic equations (35H10) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80)

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• scientific article; zbMATH DE number 3345727 (Why is no real title available?)
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• Hypoelliptic second order differential equations
• Liquidity risk and arbitrage pricing theory
• Market volatility and feedback effects from dynamic hedging
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities
• User’s guide to viscosity solutions of second order partial differential equations

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(5)

• Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
• AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
• A splitting numerical scheme for non-linear models of mathematical finance
• A second-order positivity preserving numerical method for gamma equation
• A nonlinear PDE in mathematical finance

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