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  • Search: subject:"numerical solutions to PDEs"
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Continuous time Markov chain 1 arbitrage pricing theory 1 first order PDE 1 life insurance 1 non-smoothness 1 numerical solutions to PDEs 1
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Norberg, Ragnar 1
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Finance and Stochastics 1
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Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
Norberg, Ragnar - In: Finance and Stochastics 9 (2005) 4, pp. 519-537
Conditional expected values in Markov chains are solutions to a set of backward differential equations, which may be ordinary or partial depending on the number of relevant state variables. This paper investigates the validity of these differential equations by locating the points of...
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