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~person:"Düring, Bertram"
~person:"Liang, Zongxia"
~subject:"Fixed and proportional transaction costs"
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Fixed and proportional transaction costs
High-order compact finite differences
2
Non-uniformly elliptic equation
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Optimal dividend and reinvestment
2
Optimal impulse control
2
Proportional reinsurance
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Viscosity solution
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financial derivatives
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numerical convergence
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viscosity solution
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Black-Scholes-Modell
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Control theory
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Kontrolltheorie
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Nichtlineare Optimierung
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Reinsurance
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Rückversicherung
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Stochastic process
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Stochastischer Prozess
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Düring, Bertram
Liang, Zongxia
Guan, Huiqi
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Insurance / Mathematics & economics
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Insurance: Mathematics and Economics
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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:
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