Seminario del 2018

Giugno
22
2018
Viorel Barbu
Mild solutions to a second order Hamilton- Jacobi equation arising in mathematical finance
analisi matematica
Existence and uniqueness of a mild solution to the dynamic programming equation corresponding to optimal control associated with the Heston stochastic volatility control is studied. The approach is based on nonlinear semigroup theory in the space $L^{1}$.
organizzato da: Giovanni Dore, Bruno Franchi, Davide Guidetti, Ermanno Lanconelli
nell'ambito del Progetto Dipartimento PROGRAMMA MATEMATICA del prof. Giovanni Dore

indietro