Abstract
Before we begin the study of partial differential equations (PDEs) we will explain how to classify them. A general quadratic surface can be described by the expressionDepending on the values of the constants (A, B, C, D, E and F), different geometrical objects will be represented:
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- 1.
Remark: \( \frac{d}{dt}\left\{{\sigma}^2{\displaystyle \underset{t}{\overset{T}{\int }}E\left[Z\right]ds}\right\}=\frac{d}{dt}\left\{{\sigma}^2{\displaystyle \underset{t}{\overset{T}{\int }}m(s)ds}\right\}={\sigma}^2\frac{d}{dt}\left\{M(T)-M(t)\right\}=-{\sigma}^2m(t) \) where M(t) is a primitive function to m(t)
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Röman, J.R.M. (2017). Continuous Time Models. In: Analytical Finance: Volume I. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-34027-2_4
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DOI: https://doi.org/10.1007/978-3-319-34027-2_4
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Online ISBN: 978-3-319-34027-2
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