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Uniqueness and support properties of solutions to singular quasilinear parabolic equations on surfaces of revolution

✍ Scribed by Fabio Punzo

Book ID
113058210
Publisher
Springer
Year
2011
Tongue
English
Weight
330 KB
Volume
191
Category
Article
ISSN
0373-3114

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Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
✍ Bertram DΓΌring; Ansgar JΓΌngel πŸ“‚ Article πŸ“… 2005 πŸ› Elsevier Science 🌐 English βš– 379 KB

A quasilinear parabolic equation with quadratic gradient terms is analyzed. The equation models an optimal portfolio in so-called incomplete financial markets consisting of risky assets and non-tradable state variables. Its solution allows to compute an optimal portfolio strategy. The quadratic grad