References
- Friedman, A. 1964. Partial Differential Equaions of Parabolic Type. New York: Prentice-Hall.
- Kolesnichenko, A. 2007. Valuation of portfolios under uncertain volatility: Black-Scholes-Barenblatt equation and the static hedging. Technical Report No. IDE0739. Technical Report of Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Holland.
- Hgaard, B., Asmussen, S., Taksar, M. 2000. Optimal risk control and dividend distribution policies. example of excess-of loss reinsurance for an insurance corporation. Finance Stochast. 4: 299–324.
- Gilbarg, D., and Trudinger, N.S. 1983. Elliptic Partial Differential Equations of Second Order.: Springer-Verlag, New York.
- Kelome, D., Swiech, A. 2003. Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation. Appl. Math. Optim. 47: 253–278.
- Libermann, G.M. 1996. Second Order Parabolic Differential Equations.World Scientific, New York.
- Buhlmann, H. 1970. Mathematical Methods in Risk Theory. Springer-Verlag, Berlin.
- Pham, H. 2009. Continuous-Time Stochastic Control and Optimization with Financial Applications. Springer-Verlag, Berlin.
- Gerber, H.U., 1969. Entscheidungskriterien für den zusammengesetzten Poisson prozess. Mitteilungen der Schweizer Versicherungsmathematiker 69: 185–228.
- Peletier, L.A., Kamin, S., Vazquez, J.L. 1991. On the Barenblatt equation of elasto-plastic filtration. Indiana Math. J. 40: 1333–1362.
- Solonnikov, V.A., Ladyzenskaja, O.A., and Ural’ceva, N.N. 1968. Linear and Quasilinear Equations of Parabolic Type (translated from the Rusian by S. Smith, 1967). Translations of Mathematical Monographs, vol. 32. American Mathematical Society, Providence, Ri.
- Taksar, M. 2000. Optimal risk and dividend distribution control models for an insurance company. Math. Meth. of Oper. Res. 51: 1–42.
- Taksar, M., Zhou, X. 1998. Optimal risk and dividend control for a company with a debt liability. Insurance: Mathematics and Economics 22: 105–122.
- Krylov, N.V. 1983. Boundedly nonhomogeneous elliptic and parabolic equations in a domain. Izv. Akad. Nayk SSSR Ser. Mat. 47(1): 75–108.
- Vargiolu, T. 2001. Existence, uniqueness and smoothness for the Black-Scholes-Barenblatt equation. Technical Report of the Department of Pure and Applied. Mathematics. of the University of Padava.
- Chen, X., Yi, F., 2014. Free boundary problem of Barenblatt equation arising from stochastic control. To appear in Discrete and Continuous Dynamical Systems.