17 citations · 94 across the 49 of their papers we have counts for
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Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem
Daniel Sevcovic, Cyril Izuchukwu Udeani
The Hamilton-Jacobi-Bellman equation arising from the optimal portfolio selection problem is studied by means of the maximal monotone operator method. The existence and uniqueness…
Linear and Nonlinear Partial Integro-Differential Equations arising from Finance
Jose Cruz, Maria Grossinho, Daniel Sevcovic +1
The purpose of this review paper is to present our recent results on nonlinear and nonlocal mathematical models arising from modern financial mathematics. It is based on our four p…
Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing
Daniel Sevcovic, Cyril Izuchukwu Udeani
The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. Such class of PIDE often arises…
Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
Daniel Sevcovic, Cyril Izuchukwu Udeani
In this paper, we investigate a fully nonlinear evolutionary Hamilton-Jacobi-Bellman (HJB) parabolic equation utilizing the monotone operator technique. We consider the HJB equatio…
Option Pricing in Illiquid Markets with Jumps
Jose Cruz, Daniel Sevcovic
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completen…
Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Kord Faghan, Daniel Sevcovic
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a so…