A nonlinear partial integro-differential equation from mathematical finance

DOI10.3934/DCDS.2010.27.907zbMath1191.35151arXiv0911.3664OpenAlexW2064814678MaRDI QIDQ977915

Frederic Abergel, Remi Tachet

Publication date: 23 June 2010

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3664

zbMATH Keywords

fixed point methodsshort-time existenceanalysis of PDE'scalibration of vanillaslocal and stochastic volatility modelsnonlinear parabolic partial integro-differential equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Integro-differential operators (47G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Semilinear parabolic equations (35K58) Integro-partial differential equations (35R09)

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