English, Article edition: ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE PIERRE BERNHARD

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Bookmark: http://trove.nla.gov.au/version/144592
Physical Description
  • article
Language
  • English

Edition details

Title
  • ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE
Author
  • PIERRE BERNHARD
Physical Description
  • article
Notes
  • We investigate an impulse control differential game arising in a problem of option pricing in mathematical finance. In a previous paper, it was shown that its Value function in â3 could be described as a pair of functions affine in one of the variables, joined on a 2D manifold. Depending on the regions of the state space, this manifold is either a dispersal one, an equivocal one or a 2D focal manifold. A pair of PDE's were derived for the focal part. Here we show that irrespective of the nature of this manifold, it has to satisfy this same set of PDE's.
  • Differential games, robust control, impulse control, option pricing
  • RePEc:wsi:igtrxx:v:08:y:2006:i:02:p:219-229
Language
  • English
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