17 citations · 94 across the 49 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
math.AP2021★ 1 cited
Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation
Pedro Polvora, Daniel Sevcovic
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a di…
q-fin.MF2021
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…
q-fin.MF2021
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…