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~person:"Düring, Bertram"
~person:"Liang, Zongxia"
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Fixed and proportional transaction costs
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Düring, Bertram
Liang, Zongxia
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Viscosity
solution
and impulse control of the diffusion model with reinsurance and fixed transaction costs
Guan, Huiqi
;
Liang, Zongxia
- In:
Insurance: Mathematics and Economics
54
(
2014
)
C
,
pp. 109-122
establish the regularity property of the
viscosity
solution
under a weak assumption. We solve the non-uniformly elliptic …
Persistent link: https://www.econbiz.de/10010729667
Saved in:
2
Viscosity
solution
and impulse control of the diffusion model with reinsurance and fixed transaction costs
Guan, Huiqi
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
54
(
2014
),
pp. 109-122
Persistent link: https://www.econbiz.de/10010259664
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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