A fully nonlinear problem arising in financial modelling

被引：4
|
作者：
Grossinho, Maria do Rosario [1 ]
Morais, Eva [1 ,2 ]
机构：
[1] Univ Tecn Lisboa, CEMAPRE, ISEG, P-1200781 Lisbon, Portugal
[2] Univ Tras Os Montes & Alto Douro, Dept Math, P-5001801 Vila Real, Portugal
来源：
BOUNDARY VALUE PROBLEMS | 2013年
关键词：
COSTS;
D O I：
10.1186/1687-2770-2013-146
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of transaction costs in the classical Black-Scholes model. Our result concerns stationary solutions which become interesting in finance when the time does not play a relevant role such as, for instance, in perpetual options.
引用
收藏
页数：10
相关论文
共 50 条
  • [1] A fully nonlinear problem arising in financial modelling
    Maria do Rosário Grossinho
    Eva Morais
    Boundary Value Problems, 2013
  • [2] A parabolic problem arising in Financial Mathematics
    Amster, P.
    Averbuj, C.
    De Napoli, P.
    Mariani, M. C.
    NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS, 2010, 11 (02) : 759 - 763
  • [3] On the Controllability Problem Arising in Financial Mathematics
    P. O. Shorygin
    Journal of Dynamical and Control Systems, 2000, 6 (3) : 353 - 363
  • [4] A VARIATIONAL PROBLEM ARISING IN FINANCIAL ECONOMICS
    COX, JC
    HUANG, CF
    JOURNAL OF MATHEMATICAL ECONOMICS, 1991, 20 (05) : 465 - 487
  • [5] A FULLY NONLINEAR FREE BOUNDARY PROBLEM ARISING FROM OPTIMAL DIVIDEND AND RISK CONTROL MODEL
    Guan, Chonghu
    Yi, Fahuai
    Chen, Xiaoshan
    MATHEMATICAL CONTROL AND RELATED FIELDS, 2019, 9 (03) : 425 - 452
  • [6] On a fully nonlinear Yamabe problem
    Ge, Yuxin
    Wang, Guofang
    ANNALES SCIENTIFIQUES DE L ECOLE NORMALE SUPERIEURE, 2006, 39 (04): : 569 - 598
  • [7] A strongly nonlinear problem arising in glaciology
    Colinge, J
    Rappaz, J
    RAIRO-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE, 1999, 33 (02): : 395 - 406
  • [8] A Class of Fully Nonlinear Equations Arising in Conformal Geometry
    Chen, Li
    Guo, Xi
    He, Yan
    INTERNATIONAL MATHEMATICS RESEARCH NOTICES, 2022, 2022 (05) : 3651 - 3676
  • [9] On a fully coupled nonlinear parabolic problem modelling miscible compressible displacement in porous media
    Choquet, Catherine
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2008, 339 (02) : 1112 - 1133
  • [10] A fully nonlinear nonhomogeneous Neumann problem
    Siai, A
    POTENTIAL ANALYSIS, 2006, 24 (01) : 15 - 45
12345