Numerical Treatment of a Partial Differential Equation for the Risk Preference(Practice,Mathematical Finance,<Special Issue>Joint Symposium of JSIAM Activity Groups 2008)
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- Kushida Masahiro
- Anan National College of Technology
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- Imai Hitoshi
- Institute of Technology and Science, The University of Tokushima
Bibliographic Information
- Other Title
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- リスク選好の偏微分方程式に対する数値解析(実用,数理ファイナンス,<特集>平成20年研究部会連合発表)
- リスク選好の偏微分方程式に対する数値解析
- リスク センコウ ノ ヘンビブン ホウテイシキ ニ タイスル スウチ カイセキ
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Description
Numerical treatment of a singular nonlinear partial differential equation (PDE) is made. The PDE is proposed to describe the evolution of the risk preference in the optimal investment problem under the random risk process. The bounding trans-formation is used for avoiding unboudedness of the domain. Implications of our results for financial economics are also discussed.
Journal
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- Transactions of the Japan Society for Industrial and Applied Mathematics
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Transactions of the Japan Society for Industrial and Applied Mathematics 18 (4), 681-686, 2008
The Japan Society for Industrial and Applied Mathematics
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Details 詳細情報について
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- CRID
- 1390001205768145152
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- NII Article ID
- 110007028858
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- NII Book ID
- AN10367166
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- ISSN
- 09172246
- 24240982
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- NDL BIB ID
- 9771268
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL Search
- CiNii Articles
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- Abstract License Flag
- Disallowed