Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing

2021 ◽  
Vol 12 (2) ◽  
pp. 604-640
Author(s):  
Hitoshi Ishii ◽  
Alexandre Roch
Keyword(s):  
Differential Equation ◽  
Option Pricing ◽  
Viscosity Solutions ◽  
Existence And Uniqueness ◽  
Integro Differential Equation

scholarly journals Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1463
Author(s):  
Daniel Ševčovič ◽  
Cyril Izuchukwu Udeani
Keyword(s):  
Differential Equation ◽  
Option Pricing ◽  
Existence And Uniqueness ◽  
Trading Strategy ◽  
Shift Function ◽  
Bessel Potential ◽  
Stock Trading ◽  
Integro Differential Equation ◽  
The One ◽  
Bessel Potential Spaces

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 in financial modeling. We employ the theory of abstract semilinear parabolic equations in order to prove existence and uniqueness of solutions in the scale of Bessel potential spaces. We consider a wide class of Lévy measures satisfying suitable growth conditions near the origin and infinity. The novelty of the paper is the generalization of already known results in the one space dimension to the multidimensional case. We consider Black–Scholes models for option pricing on underlying assets following a Lévy stochastic process with jumps. As an application to option pricing in the one-dimensional space, we consider a general shift function arising from a nonlinear option pricing model taking into account a large trader stock-trading strategy. We prove existence and uniqueness of a solution to the nonlinear PIDE in which the shift function may depend on a prescribed large investor stock-trading strategy function.

Some numerical graphs with successive approximation method of fractional integro–differential equation

2019 ◽  
Vol 8 (4) ◽  
pp. 36
Author(s):  
Samir H. Abbas
Keyword(s):  
Differential Equation ◽  
Successive Approximation ◽  
Approximation Method ◽  
Existence And Uniqueness ◽  
Successive Approximation Method ◽  
Integro Differential Equation

This paper studies the existence and uniqueness solution of fractional integro-differential equation, by using some numerical graphs with successive approximation method of fractional integro –differential equation. The results of written new program in Mat-Lab show that the method is very interested and efficient. Also we extend the results of Butris [3].

scholarly journals On solvability of nonlinear integro-differential equation

2020 ◽  
pp. 127-134
Author(s):  
А.В. Юлдашева
Keyword(s):  
Differential Equation ◽  
Existence And Uniqueness ◽  
Initial Problem ◽  
Uniqueness Of Solution ◽  
Integro Differential Equation ◽  
Peridynamic Model

В настоящей работе рассматривается задача с начальными данными для нелинейного интегро-дифференциального уравнения, связанного с перидинамической моделью. Доказывается существование и единственность решения. In this paper we consider initial problem for nonlinear integro-differential equation related to peridynamic model. The existence and uniqueness of solution are proved.

scholarly journals Monte-Carlo Galerkin Approximation of Fractional Stochastic Integro-Differential Equation

2012 ◽  
Vol 2012 ◽  
pp. 1-14 ◽  
Author(s):  
Abdallah Ali Badr ◽  
Hanan Salem El-Hoety
Keyword(s):  
Differential Equation ◽  
Stochastic Process ◽  
Monte Carlo ◽  
Stochastic Differential Equation ◽  
Galerkin Method ◽  
Existence And Uniqueness ◽  
Galerkin Approximation ◽  
Integro Differential Equation ◽  
Uniqueness Of The Solution ◽  
Time Continuum

A stochastic differential equation, SDE, describes the dynamics of a stochastic process defined on a space-time continuum. This paper reformulates the fractional stochastic integro-differential equation as a SDE. Existence and uniqueness of the solution to this equation is discussed. A numerical method for solving SDEs based on the Monte-Carlo Galerkin method is presented.

scholarly journals Successive Approximation Method of Integro–Differential Equation With Applications

2019 ◽  
Vol 8 (3) ◽  
pp. 96
Author(s):  
Samir H. Abbas ◽  
Younis M. Younis
Keyword(s):  
Differential Equation ◽  
Exact Solution ◽  
Differential Equations ◽  
Successive Approximation ◽  
Approximation Method ◽  
Existence And Uniqueness ◽  
Successive Approximations ◽  
Successive Approximation Method ◽  
Integro Differential Equation

The aim of this paper is studying the existence and uniqueness solution of integro- differential equations by using Successive approximations method of picard. The results of written program in Mat-Lab show that the method is very interested and efficient with comparison the exact solution for solving of integro-differential equation.

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