hal.structure.identifier	Institut de Mathématiques de Bordeaux [IMB]
dc.contributor.author	LE ROUX, Marie-Noëlle
dc.date.accessioned	2024-04-04T02:39:26Z
dc.date.available	2024-04-04T02:39:26Z
dc.date.created	2009-05-18
dc.identifier.uri	https://oskar-bordeaux.fr/handle/20.500.12278/190972
dc.description.abstractEn	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 propose a numerical method to compute the optimal strategy
dc.language.iso	en
dc.subject.en	mathematical model
dc.subject.en	nonlinear parabolic problem
dc.subject.en	finite element method
dc.title.en	Numerical Solution of a parabolic problem arising in finance
dc.type	Document de travail - Pré-publication
dc.subject.hal	Mathématiques [math]/Analyse numérique [math.NA]
dc.identifier.arxiv	0905.2860
bordeaux.hal.laboratories	Institut de Mathématiques de Bordeaux (IMB) - UMR 5251	*
bordeaux.institution	Université de Bordeaux
bordeaux.institution	Bordeaux INP
bordeaux.institution	CNRS
hal.identifier	hal-00385009
hal.version	1
hal.audience	Non spécifiée
hal.origin.link	https://hal.archives-ouvertes.fr//hal-00385009v1
bordeaux.COinS	ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=LE%20ROUX,%20Marie-No%C3%ABlle&rft.genre=preprint

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Numerical Solution of a parabolic problem arising in finance