The heat kernel for Kolmogorov type operators and its applications

DOI10.1007/s00041-008-9056-7zbMath1184.35149OpenAlexW2082928007MaRDI QIDQ2655131

Haitao Fan, Ovidiu Calin, Der-Chen E. Chang

Publication date: 22 January 2010

Published in: The Journal of Fourier Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00041-008-9056-7

zbMATH Keywords

pricing Asian options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Heat and other parabolic equation methods for PDEs on manifolds (58J35) Boundary value problems for functional-differential equations (34K10) Hamilton-Jacobi theories (49L99) Subelliptic equations (35H20) Heat kernel (35K08)

Related Items (3)

A structure preserving scheme for the Kolmogorov-Fokker-Planck equation ⋮ Variational analysis for generalized Kolmogorov operators ⋮ Initial value problem and the heat kernel for a mixed type operator

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