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Anomalous PDEs in Markov chains: Domains of validity and numerical solutions |
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| Authors: | Ragnar Norberg |
| Institution: | (1) Department of Statistics, London School of Economics and Political Science, Houghton Street, WC2A 2AE London, UK |
| Abstract: | |
| Keywords: | Continuous time Markov chain first order PDE non-smoothness numerical solutions to PDEs arbitrage pricing theory life insurance |
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