Search Results - subject:"Partial Differential Equation"

Consumer optimization and a first-order PDE with a non-smooth system

Hosoya, Yuhki - In: Operations research forum 2 (2021) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10012794430

Exponentially fitted block backward differentiation formulas for pricing options

Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation …

Persistent link: https://www.econbiz.de/10013183775

A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE

Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications 87 (2021) 3, pp. 755-784

We prove a-posteriori error-estimates for reduced-order modeling of quasilinear parabolic PDEs with non-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis-, empirical interpolation-, and...

Persistent link: https://www.econbiz.de/10015403568

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13

differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite …In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial …

Persistent link: https://www.econbiz.de/10013200324

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13

Persistent link: https://www.econbiz.de/10012372986

On solving a class of continuous traffic equilibrium problems and planning facility location under congestion

Wang, Zhaodong; Ouyang, Yanfeng; She, Ruifeng - In: Operations research 70 (2022) 3, pp. 1465-1484

Persistent link: https://www.econbiz.de/10013366144

Mixture of consistent stochastic utilities, and a priori randomness

Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012650235

Stability, Fairness and Random Walks in the Bargaining Problem

Kapeller, Jakob; Steinerberger, Stefan - 2017

We study the classical bargaining problem and its two canonical solutions, (Nash and Kalai-Smorodinsky), from a novel point of view: we ask for stability of the solution if both players are able distort the underlying bargaining process by reference to a third party (e.g. a court). By exploring...

Persistent link: https://www.econbiz.de/10011752642

Stability, fairness and random walks in the bargaining problem

Kapeller, Jakob; Steinerberger, Stefan - 2017

Persistent link: https://www.econbiz.de/10011781098

Consistent utility of investment and consumption : a forward/backward SPDE viewpoint

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017

Persistent link: https://www.econbiz.de/10012200208