Integral Equation Methods for Free Boundary Problems∗
نویسنده
چکیده
We outline a unified approach for treating free boundary problems arising in Finance using integral equation methods. Starting with the PDE formulations of the free boundary problems, we show how to derive nonlinear integral equations for the free boundaries in a variety of Finance applications. Methods to treat theoretical (existence, uniqueness) questions and analytical and numerical approximations are sketched in this integral equation context. This article is a summary of joint work with colleagues (Xinfu Chen and David Saunders) and former students (Lan Cheng and Dejun Xie) at the University of Pittsburgh.
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