An Initial-Boundary Value Problem for Parabolic Monge-Ampere Equation in Mathematical Finance

作者：Li, Ming^*; Ren, Changyu

来源：Chinese Annals of Mathematics Series B, 2016, 37(5): 705-712.

DOI：10.1007/s11401-016-0973-5

• Initial-boundary value problem
• Parabolic Monge-Ampere equation
• Strong convex monotonic function

This paper deals with some parabolic Monge-Ampere equation raised from mathematical finance: VsVyy+ryV(y)V(yy)-theta V-y(2) - 0 (V-yy < 0). The existence and uniqueness of smooth solution to its initial-boundary value problem with some requirement is obtained.

• 出版日期2016-9
• 单位复旦大学; 吉林大学