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Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 15, Tome 368 (2009), pp. 20-52 Cet article a éte moissonné depuis la source Math-Net.Ru

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We apply a probabilistic approach that allows to solve the Cauchy problem for nonlinear parabolic equations and systems developed in our previous papers to problems arising in financial mathematics while constructing arbitrage-free option prices on non-ideal markets. Bibl. – 11 titles. 
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Ya. I. Belopolskaya. Probabilistic approach to solution of nonlinear PDEs arising in financial mathematics. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 15, Tome 368 (2009), pp. 20-52. http://geodesic.mathdoc.fr/item/ZNSL_2009_368_a2/

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