| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9502972 | Journal of Mathematical Analysis and Applications | 2005 | 8 Pages |
Abstract
We consider a boundary value problem for a nonlinear differential equation which arises in an option pricing model with transaction costs. We apply the method of upper and lower solutions in order to obtain solutions for the stationary problem. Moreover, we give conditions for the existence of solutions of the general evolution equation.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
P. Amster, C.G. Averbuj, M.C. Mariani, D. Rial,