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  • Search: subject:"partial differential equation"
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Year of publication
Subject
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Analysis 9 Mathematical analysis 9 Stochastic process 7 Stochastischer Prozess 7 partial differential equation 7 Option pricing theory 5 Optionspreistheorie 5 Consumption theory 3 Konsumtheorie 3 A-posteriori error 2 Bargaining problem 2 Black-Scholes partial differential equation 2 Block backward differentiation formula 2 Brownian motion 2 Feynman-Kac formula 2 Fokker-Planck-Kolmogorov equation 2 Kalai-Smorodinsky Solution 2 Levy-Khintchin representation 2 Markov process 2 Markov uniqueness 2 Nash solution 2 Proper Orthogonal Decomposition 2 Quasilinear parabolic partial differential equation 2 Reduced basis 2 Stability 2 behavioral modeling 2 exchange option 2 exponential fitting 2 fractional step method 2 generalized Mehler semigroups 2 in nitesimal generator 2 irrational exercise rule 2 mixed derivatives 2 mixed topology 2 options 2 oscillations 2 penalty method 2 radial basis functions 2 stochastic (partial) differential equation 2 strongly continuous semigroup 2
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Online availability
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Free 21 CC license 3
Type of publication
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Article 12 Book / Working Paper 9
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Working Paper 6 Article 5 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4
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Language
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English 17 Undetermined 4
Author
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Akinyemi, M. I. 2 Gad, Kamille Sofie Tågholt 2 Goldys, Ben 2 Hoppe, Fabian 2 Jator, S. N. 2 Kagraoka, Yusho 2 Kapeller, Jakob 2 Neitzel, Ira 2 Nendel, Max 2 Nyonna, D. 2 Pedersen, Jesper Lund 2 Röckner, Michael 2 Sahi, R. K. 2 Steinerberger, Stefan 2 Abood, Hayder Jabber 1 Bhattacharya, Debopam 1 Cheang, Gerald H.L. 1 Chiarella, Carl 1 El Karoui, Nicole 1 Filipović, Damir 1 Fiorani, Filo 1 Hillairet, Caroline 1 Hosoya, Yuhki 1 Hussain, Ahmed Hadi 1 Kuriyama, Akira 1 Mrad, Mohamed 1 Muravey, Dmitry 1 Oparina, Ekaterina 1 Shen, Yang 1 Wang, Wenyuan 1 Xu, Qianya 1 Zeng, Yan 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Finance Discipline Group, Business School 1
Published in...
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Computational Optimization and Applications 2 MPRA Paper 2 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Discussion paper 1 Finance and stochastics 1 ICAE Working Paper Series 1 ICAE working paper series 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 Journal of Asian Scientific Research 1 Operations research forum 1 Research Paper Series / Finance Discipline Group, Business School 1 Risks 1 Risks : open access journal 1 Série des documents de travail 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 10 EconStor 7 RePEc 4
Showing 1 - 10 of 21
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Empirical welfare analysis with hedonic budget constraints
Bhattacharya, Debopam; Oparina, Ekaterina; Xu, Qianya - 2024
Persistent link: https://www.econbiz.de/10015127513
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023
Persistent link: https://www.econbiz.de/10014336459
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Ben; Nendel, Max; Röckner, Michael - 2022
We define a class of not necessarily linear C0-semigroups (Pt)t≥0 on Cb(E) (more generally, on Cκ(E):=1κCb(E), for some growth bounding continuous function κ) equipped with the mixed topology τM1 for a large class of topological state spaces E. In the linear case we prove that such...
Persistent link: https://www.econbiz.de/10014304791
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Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Ben; Nendel, Max; Röckner, Michael - 2022
We define a class of not necessarily linear C0-semigroups (Pt)t≥0 on Cb(E) (more generally, on Cκ(E):=1κCb(E), for some growth bounding continuous function κ) equipped with the mixed topology τM1 for a large class of topological state spaces E. In the linear case we prove that such...
Persistent link: https://www.econbiz.de/10013184556
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Exponentially fitted block backward differentiation formulas for pricing options
Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18
parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation …
Persistent link: https://www.econbiz.de/10014001336
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A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications (2021), pp. 1-30
We prove a-posteriori error-estimates for reduced-order modeling of quasilinear parabolic PDEs with non-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis-, empirical interpolation-, and...
Persistent link: https://www.econbiz.de/10014501692
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Consumer optimization and a first-order PDE with a non-smooth system
Hosoya, Yuhki - In: Operations research forum 2 (2021) 4, pp. 1-36
Persistent link: https://www.econbiz.de/10012794430
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Exponentially fitted block backward differentiation formulas for pricing options
Jator, S. N.; Sahi, R. K.; Akinyemi, M. I.; Nyonna, D. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18
parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation …
Persistent link: https://www.econbiz.de/10013183775
Saved in:
Cover Image
A-posteriori reduced basis error-estimates for a semi-discrete in space quasilinear parabolic PDE
Hoppe, Fabian; Neitzel, Ira - In: Computational Optimization and Applications 87 (2021) 3, pp. 755-784
We prove a-posteriori error-estimates for reduced-order modeling of quasilinear parabolic PDEs with non-monotone nonlinearity. We consider the solution of a semi-discrete in space equation as reference, and therefore incorporate reduced basis-, empirical interpolation-, and...
Persistent link: https://www.econbiz.de/10015403568
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