Differential Equations and Their Applications Part 15 pptx
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270 Index
N
nodal set, 53
nodal solution, 90
nonsolvable, 10,139
O
option, 7
call, 7
optimal control, 53
optimal control problem, 3,52
optimality system, 4
ordinally equivalent, 6
P
parabolicity, 104
degenerate, 104
super, 104
portfolio, 7
price
exercise, 7
fair, 8
problem,
optimal control, 3,52
Skorohod, 169
R
rate
appreciation, 7,208
interest, 7
recursive utlity, 5
reflected
BSDE, 171
FBSDE, 181
FSDE, 169
risk
-neutral, 227
premium, 8,227
S
semi-concave, 61
solution
adapted, 10,25,138
approximate, 54
nodal, 90
viscosity, 66
sub-, 66
super-, 66
solvable, 10,139
approximately, 54
stock, 7
subdifferential, 174
T
target, 52
Theorem
comparison, 22,214
martingale representation, 2
U
utility
current, 5
process, 5
recursive, 5
V
value
function, 58
lower, 233
upper, 233
viscosity
solution, 66
subsolution, 66
supersolution, 66
volatility, 7,208
W
weight vector, 6
Y
Yosida approximation, 174
