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Probabilistic approach to solution of nonlinear PDES arising in financial mathematics

✍ Scribed by Ya. Belopolskaya


Publisher
Springer US
Year
2010
Tongue
English
Weight
343 KB
Volume
167
Category
Article
ISSN
1573-8795

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In the method of quasireversibility (QR), ill-posed problems for linear partial differential equations are replaced by well-posed problems for equations of twice-higher order. In this paper, we consider two problems: the first for the backward heat equation, and the second for a nonparabolic evoluti