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Partial differential equations in economics and finance

Basov, Suren - 2007

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …

Persistent link: https://www.econbiz.de/10003429606

A reinsurance game between two insurance companies with nonlinear risk processes

Meng, Hui; Li, Shuanming; Jin, Zhuo - In: Insurance / Mathematics & economics 62 (2015), pp. 91-97

Persistent link: https://www.econbiz.de/10011312085

Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games

Lei, Qian; Pun, Chi Seng - 2022

theory of stochastic differential games to incorporate with behavioral factors such as time-inconsistent preferences, which …

Persistent link: https://www.econbiz.de/10013309315

Randomized stopping times and American option pricing with transaction costs

Chalasani, Prasad; Jha, Somesh - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 33-77

Persistent link: https://www.econbiz.de/10001650918

Default Swap Games Driven by Spectrally Negative Levy Processes

Leung, Tim - 2013

This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based...

Persistent link: https://www.econbiz.de/10013091547

Option game with Poisson Jump Process in company radical technological innovation

Daming, You; Yang, Xiaohui; Wu, Desheng Dash; Guofan, Chen - In: Technological forecasting & social change : an … 81 (2014), pp. 341-350

Persistent link: https://www.econbiz.de/10010403078

Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach

Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422

Persistent link: https://www.econbiz.de/10011439173

Real options, intellectual property, R&D, geometric Brownian motion, Stackelberg games

Breccia, Adriana - 2019

Persistent link: https://www.econbiz.de/10011988095

Doubly reflected BSDEs and epsilon f-Dynkin games : beyond the right-continuous case

Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

Persistent link: https://www.econbiz.de/10011892215

Game options approach in company radical technological innovation with generalized poisson jump process

Hajaji, A. El; Serghini, A.; Mokhlis, K.; Hilal, K.; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-18

Persistent link: https://www.econbiz.de/10011778272