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Probabilistic approach to solution of nonlinear PDES arising in financial mathematics

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We apply a probabilistic approach developed in our previous papers, which allows us to solve the Cauchy problem for nonlinear parabolic equations and systems and to construct solutions of problems arising in financial mathematics in search for arbitrage-free option prices on nonideal markets. Bibliography: 11 titles.

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  1. St. Petersburg State University for Architecture and Civil Engineering, St. Petersburg, Russia

    Ya. Belopolskaya

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  1. Ya. Belopolskaya
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Correspondence to Ya. Belopolskaya.

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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 368, 2009, pp. 20–52.

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Belopolskaya, Y. Probabilistic approach to solution of nonlinear PDES arising in financial mathematics. J Math Sci 167, 444–460 (2010). https://doi.org/10.1007/s10958-010-9930-0

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  • DOI: https://doi.org/10.1007/s10958-010-9930-0

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