Anomalous PDEs in Markov chains: Domains of validity and numerical solutions
Year of publication: |
2005
|
---|---|
Authors: | Norberg, Ragnar |
Published in: |
Finance and Stochastics. - Springer. - Vol. 9.2005, 4, p. 519-537
|
Publisher: |
Springer |
Subject: | Continuous time Markov chain | first order PDE | non-smoothness | numerical solutions to PDEs | arbitrage pricing theory | life insurance |
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