A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates

DOI10.1007/S00780-016-0301-7zbMath1355.60060DBLPjournals/fs/Glau16arXiv1502.07531OpenAlexW2471367411WikidataQ59468813 ScholiaQ59468813MaRDI QIDQ331363

Kathrin Glau

Publication date: 27 October 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07531

zbMATH Keywords

Laplace transformGalerkin methodweak solutionoption pricingoccupation timevariational solutionfractional Laplace operatornonlocal operatorpartial integro-differential equationFeynman-Kac representationemployee optionkilling rateparabolic evolution equationpseudo-differential equationSobolev-Slobodeckii spacestime-inhomogeneous Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Integro-differential operators (47G20) Pseudodifferential operators (47G30) Initial value problems for PDEs with pseudodifferential operators (35S10) Integro-partial differential equations (35R09)

Related Items (11)

Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ A Flexible Galerkin Scheme for Option Pricing in Lévy Models ⋮ The inverse first passage time problem for killed Brownian motion ⋮ A finite elements approach for spread contract valuation via associated two-dimensional PIDE ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model ⋮ Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models ⋮ Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations ⋮ Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations ⋮ Markov-modulated affine processes ⋮ Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations

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