Numerical Solution of a parabolic problem arising in finance
Langue
en
Document de travail - Pré-publication
Résumé en anglais
The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and ...Lire la suite >
Mots clés en anglais
mathematical model
nonlinear parabolic problem
finite element method