On some non-linear boundary value problems related to a Black--Scholes model with transaction costs

We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large class of problems involving Black--Scholes equation. Our main results involve the existence of extremal solutions in presence of lower and upper solutions. Some examples of application are provided too.

No reviews yet.

No comments yet.