论文信息 - Numerical Solution of a Nonlinear Evolution Equation for the Risk Preference

Numerical Solution of a Nonlinear Evolution Equation for the Risk Preference

A 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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