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  • Search: subject:"Nonlinear partial differential equations"
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Year of publication
Subject
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Nonlinear partial differential equations 3 Transaction costs 3 nonlinear partial differential equations 3 Analysis 2 Mathematical analysis 2 Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Chapman–Enskog expansion 1 Coupled system of viscous Burgers’ equations 1 Deep learning 1 Hoggard–Whalley–Wilmott model 1 Lattice Boltzmann method 1 Poisson-diffusion process 1 Solvability 1 Transaktionskosten 1 algebras of generalized functions 1 backward stochastic differential equations 1 characteristic Cauchy problem 1 transaction costs 1 viscosity solution 1 wave equation 1 weak approximation 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 5 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 4 English 2
Author
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Ishimura, Naoyuki 2 Allaud, Emmanuel 1 Averbuj, Corina G. 1 Dévoué, Victor 1 Imai, Hitoshi 1 Lai, Huilin 1 Ma, Changfeng 1 Mottate, Ikumi 1 Naito, Riu 1 Nakamura, Masaaki 1 Yamada, Toshihiro 1
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Institution
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Centre d'Études et de Recherche en Économie, Gestion, Modélisation et Informatique Appliquée (CEREGMIA), Université des Antilles et de la Guyane 1
Published in...
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Asia-Pacific Financial Markets 2 Documents de Travail 1 International journal of financial engineering 1 Physica A: Statistical Mechanics and its Applications 1 Revista brasileira de economia de empresas : publicação semestral do Programa de Pós-Graduação Stricto Sensu em Economia da Universidade Católica de Brasília 1
Source
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RePEc 4 ECONIS (ZBW) 2
Showing 1 - 6 of 6
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An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
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Generalized solutions to a characteristic Cauchy problem
Allaud, Emmanuel; Dévoué, Victor - Centre d'Études et de Recherche en Économie, Gestion, … - 2010
In this paper we give a meaning to the nonlinear characteristic Cauchy problem for the Wave Equation in base form by replacing it by a family of non-characteristic ones. This leads to a well formulated problem in an appropriate algebra of generalized functions. We prove existence of a solution...
Persistent link: https://www.econbiz.de/10008763746
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A new lattice Boltzmann model for solving the coupled viscous Burgers’ equation
Lai, Huilin; Ma, Changfeng - In: Physica A: Statistical Mechanics and its Applications 395 (2014) C, pp. 445-457
In this paper, a new lattice Boltzmann model for the coupled nonlinear system of viscous Burgers’ equation is proposed by using the double evolutionary equations. Through selecting equilibrium distribution functions and amending functions properly, the governing evolution system can be...
Persistent link: https://www.econbiz.de/10010730338
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Nonlinear-differential evolution equation arising in option pricing when including transaction costs : a viscosity solution approach
Averbuj, Corina G. - In: Revista brasileira de economia de empresas : … 12 (2012) 1, pp. 81-90
Persistent link: https://www.econbiz.de/10011450645
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Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs
Ishimura, Naoyuki - In: Asia-Pacific Financial Markets 17 (2010) 3, pp. 241-259
Persistent link: https://www.econbiz.de/10008678554
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On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs
Imai, Hitoshi; Ishimura, Naoyuki; Mottate, Ikumi; … - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 315-326
Persistent link: https://www.econbiz.de/10005810965
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