Numerical Solution of a Nonlinear Evolution Equation for the Risk Preference

Naoyuki Ishimura,Miglena N Koleva,Lubin G Vulkov

doi:10.1007/978-3-642-18466-6_53

Numerical Solution of a Nonlinear Evolution Equation for the Risk Preference

Naoyuki Ishimura, Miglena N Koleva + Show 1 more

https://doi.org/10.1007/978-3-642-18466-6_53

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Publication Date: Jan 1, 2011

Citations: 18

Affiliation: Hitotsubashi University, European University of Lefke

#Singular Nonlinear Partial Differential Equation #Coefficient Of Relative Risk Aversion + Show 8 more

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Abstract

AbstractA singular nonlinear partial differential equation (PDE) for the risk preference was derived by the first author in previous publications. The PDE is related to the Arrow-Pratt coefficient of relative risk aversion. In the present paper, we develop a Rothe-Bellman & Kalaba quasilinearization method on quasi-uniform space mesh to numerically investigate such PDE. Numerical experiments are discussed.

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