Journal of Computational Finance

Risk.net

A new nonlinear partial differential equation in finance and a method of its solution

Andrey Itkin

We consider a specific type of nonlinear partial differential equation (PDE) that appears in mathematical finance as the result of solving some optimization problems. We review some examples of such problems existing in the literature and discuss the properties of these PDEs. We also demonstrate how to solve them numerically in a general case, and analytically in a particular case.

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