A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363): Difference between revisions

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Latest revision as of 19:18, 12 July 2024

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A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
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    A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (English)
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    27 October 2016
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    time-inhomogeneous Lévy process
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    Feynman-Kac representation
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    partial integro-differential equation
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    killing rate
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    weak solution
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    variational solution
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    parabolic evolution equation
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    pseudo-differential equation
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    nonlocal operator
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    fractional Laplace operator
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    Sobolev-Slobodeckii spaces
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    option pricing
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    Laplace transform
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    occupation time
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    employee option
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    Galerkin method
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