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~person:"Düring, Bertram"
~person:"Azcue, Pablo"
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Search: subject:"Viscosity Solution"
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Viscosity solution
4
Hamilton–Jacobi–Bellman equation
3
Compound Poisson process
2
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2
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2
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2
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Düring, Bertram
Azcue, Pablo
Federico, Salvatore
10
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10
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6
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6
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Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher, Hansjörg
;
Azcue, Pablo
;
Muler, Nora
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 341-400
Persistent link: https://www.econbiz.de/10014253644
Saved in:
2
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Computational Statistics
77
(
2013
)
2
,
pp. 177-206
-differential operator and a gradient constraint. We characterize the optimal value function as the unique
viscosity
solution
of the …
Persistent link: https://www.econbiz.de/10010847475
Saved in:
3
Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
Azcue, Pablo
;
Muler, Nora
- In:
Mathematical Methods of Operations Research
77
(
2013
)
2
,
pp. 177-206
-differential operator and a gradient constraint. We characterize the optimal value function as the unique
viscosity
solution
of the …
Persistent link: https://www.econbiz.de/10010999524
Saved in:
4
Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates
Azcue, Pablo
;
Muler, Nora
- In:
Insurance: Mathematics and Economics
51
(
2012
)
1
,
pp. 26-42
ceiling on the dividend rates. We characterize the optimal value function as the unique bounded
viscosity
solution
of the …
Persistent link: https://www.econbiz.de/10010576735
Saved in:
5
Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
Fournié, Michel
;
Düring, Bertram
;
Jüngel, Ansgar
-
2004
difference solution converges locally uniformly to the unique
viscosity
solution
of the continuous equation. The proof is based …
Persistent link: https://www.econbiz.de/10010263420
Saved in:
6
Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation
Düring, Bertram
;
Fournié, Michel
;
Jüngel, Ansgar
-
Zentrum für Finanzen und Ökonometrie, Fachbereich …
-
2004
difference solution converges locally uniformly to the unique
viscosity
solution
of the continuous equation. The proof is based …
Persistent link: https://www.econbiz.de/10005357912
Saved in:
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