Viscosity Solutions of an Infinite-Dimensional Black-Scholes-Barenblatt Equation
Journal Article
·
· Applied Mathematics and Optimization
We study an infinite-dimensional Black-Scholes-Barenblatt equation which is a Hamilton-Jacobi-Bellman equation that is related to option pricing in the Musiela model of interest rate dynamics. We prove the existence and uniqueness of viscosity solutions of the Black-Scholes-Barenblatt equation and discuss their stochastic optimal control interpretation. We also show that in some cases the solution can be locally uniformly approximated by solutions of suitable finite-dimensional Hamilton-Jacobi-Bellman equations.
- OSTI ID:
- 21067472
- Journal Information:
- Applied Mathematics and Optimization, Vol. 47, Issue 3; Other Information: DOI: 10.1007/s00245-003-0764-8; Copyright (c) 2003 Springer-Verlag New York Inc.; Article Copyright (c) Inc. 2003 Springer-Verlag New York; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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