Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model.
Yang WangBaojun BianJizhou ZhangPublished in: J. Optim. Theory Appl. (2014)
Keyphrases
- differential equations
- diffusion model
- boundary value problem
- anisotropic diffusion
- dynamical systems
- partial differential equations
- numerical solution
- ordinary differential equations
- difference equations
- diffusion models
- numerical methods
- information diffusion
- laplace transform
- diffusion process
- diffusion tensor
- optimal solution
- machine learning
- neural network
- pattern recognition
- objective function
- social networks