A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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