Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
844971 | Nonlinear Analysis: Theory, Methods & Applications | 2006 | 20 Pages |
Abstract
For the initial value problem of the parabolic Monge-Ampère equation VtVxx+rxVxVxx-θVx2=0, (x,t)âRÃ[0,T) arising from the optimal investment of mathematical finance theory, we establish the existence of solutions, whose application is also given. Here the initial function is unbounded, and a special property is required for the solution to satisfy.
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Authors
Lian Songzhe,