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~person:"Düring, Bertram"
~person:"Jiang, Yilun"
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viscosity solution
4
High-order compact finite differences
2
bank salvage model
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inaccessible bankruptcy time
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Düring, Bertram
Jiang, Yilun
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1
A bank salvage model by impulse stochastic controls
Cordoni, Francesco Giuseppe
;
Di Persio, Luca
;
Jiang, Yilun
- In:
Risks
8
(
2020
)
2
,
pp. 1-31
task, showing that the corresponding quasi-variational inequality (QVI) admits a unique
viscosity
solution
…
Persistent link: https://www.econbiz.de/10013200593
Saved in:
2
A bank salvage model by impulse stochastic controls
Cordoni, Francesco Giuseppe
;
Di Persio, Luca
;
Jiang, Yilun
- In:
Risks : open access journal
8
(
2020
)
2/60
,
pp. 1-31
task, showing that the corresponding quasi-variational inequality (QVI) admits a unique
viscosity
solution
…
Persistent link: https://www.econbiz.de/10012292938
Saved in:
3
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:
4
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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