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  • Search: subject:"nonlinear PDE"
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Year of publication
Subject
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fully nonlinear PDE 6 Theorie 5 Theory 5 Nichtlineare Regression 4 Nisio semigroup 4 Nonlinear regression 4 viscosity solution 4 Nonlinear PDE 3 Stochastic process 3 Stochastischer Prozess 3 Convex semigroup 2 Dividend 2 Dividende 2 Feller process 2 Firm value 2 Hamilton-Jacobi-Bellman equations 2 Investment 2 Lévy process 2 Markovian convolution semigroup 2 Nichtlineare Optimierung 2 Nonlinear programming 2 Unternehmenswert 2 convex expectation space 2 dividend policy 2 nonlinear Cauchy problem 2 nonlinear PDE 2 nonlinear expectation 2 singular control 2 well-posedness and uniqueness 2 (Conditional) nonlinear expectation 1 Counterparty credit risk 1 Counterparty credit valuation adjustment 1 Dissipative solitons 1 Erwartungsbildung 1 Expectation formation 1 Finanzmathematik 1 Fully nonlinear PDE 1 Generalized RLW equation 1 Ginzburg–Landau equation 1 Interest swap 1
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Online availability
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Free 9 Undetermined 3
Type of publication
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Book / Working Paper 8 Article 4
Type of publication (narrower categories)
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Working Paper 8 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 9 Undetermined 3
Author
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Nendel, Max 6 Denk, Robert 4 Kupper, Michael 4 Pierre, Erwan 2 Röckner, Michael 2 Villeneuve, Stéphane 2 Warin, Xavier 2 Choudhury, Roy S. 1 Guo, Xin 1 Mancas, Stefan C. 1 Pan, Chen 1 Peng, Shige 1 Soliman, A.A. 1 Wei, Wei 1
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Published in...
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Center for Mathematical Economics Working Papers 3 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 3 Mathematics and Computers in Simulation (MATCOM) 2 IDEI working papers 1 International Journal of Financial Research 1 Mathematics and financial economics 1 Working papers / TSE : WP 1
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Source
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ECONIS (ZBW) 6 EconStor 3 RePEc 3
Showing 1 - 10 of 12
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
viscosity solution of the fully nonlinear PDE ∂tu=supλ∈ΛAλu. The results are illustrated with several examples. …
Persistent link: https://www.econbiz.de/10012042149
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Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
In this paper we construct the smallest semigroup S that dominates a given family of linear Feller semigroups. The semigroup S will be referred to as the semigroup envelope or Nisio semigroup. In a second step we investigate strong continuity properties of the semigroup envelope and show that it...
Persistent link: https://www.econbiz.de/10012042157
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Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012388839
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Cover Image
A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
viscosity solution of the fully nonlinear PDE ∂tu=supλ∈ΛAλu. The results are illustrated with several examples. …
Persistent link: https://www.econbiz.de/10012009874
Saved in:
Cover Image
Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
In this paper we construct the smallest semigroup S that dominates a given family of linear Feller semigroups. The semigroup S will be referred to as the semigroup envelope or Nisio semigroup. In a second step we investigate strong continuity properties of the semigroup envelope and show that it...
Persistent link: https://www.econbiz.de/10012016106
Saved in:
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Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012062770
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Numerical approximation of a cash-constrained firm value with investment opportunities
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier - 2016
Persistent link: https://www.econbiz.de/10011498021
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Numerical approximation of a cash-constrained firm value with investment opportunities
Pierre, Erwan; Villeneuve, Stéphane; Warin, Xavier - 2016
Persistent link: https://www.econbiz.de/10012216445
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Martingale problem under nonlinear expectations
Guo, Xin; Pan, Chen; Peng, Shige - In: Mathematics and financial economics 12 (2018) 2, pp. 135-164
Persistent link: https://www.econbiz.de/10011963738
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Counterparty Credit Risk on a Standard Swap in ¡°Risky Closeout¡±
Wei, Wei - In: International Journal of Financial Research 2 (2011) 2, pp. 40-51
nonlinear PDE model describing the value of a standard interest swap with counterparty credit risk in the reduced form framework …, thus get a new method to calculate counterparty credit valuation adjustment. We solve the nonlinear PDE by iterations …
Persistent link: https://www.econbiz.de/10011267677
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