Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE.
Peter GranditsPublished in: SIAM J. Appl. Math. (2001)
Keyphrases
- transaction costs
- partial differential equations
- high order
- diffusion equation
- conservation laws
- search costs
- anisotropic diffusion
- stock exchange
- reaction diffusion
- nonlinear diffusion
- shock filter
- portfolio management
- finite difference
- transaction cost economics
- image enhancement
- scale spaces
- multiscale
- difference equations
- level set
- long term
- stock price
- image denoising
- frequent patterns