Positive Semigroups Generated by Degenerate Second-Order Differential Operators

DOI10.1619/FESI.51.431MaRDI QIDQ3626833zbMATH OpenOpenAlexFDO

Authors Francesco Altomare, Graziana Musceo

Publication date 14 May 2009

Published in Funkcialaj Ekvacioj (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1619/fesi.51.431

zbMATH Keywords

Black-Scholes equationdegenerate evolution equationdegenerate second-order differential operatormaximal boundary conditionpositive semigrouptransition semigroupweighted continuous function spaceWentzel boundary condition

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Markov semigroups and applications to diffusion processes (47D07) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Financial applications of other theories (91G80)

Recommendations

• Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I.
• Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. II.
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Cited in

(11)

• On the \(C_0\)-semigroups generated by second order differential operators on the real line
• Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I.
• Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. II.
• On the positive semigroups generated by Fleming-Viot type differential operators
• Generation of analytic semigroups and domain characterization for degenerate elliptic operators with unbounded coefficients arising in financial mathematics. I.
• Differential operators with second-order degeneracy and positive approximation processes.
• Degenerate second order differential operators with generalized reflecting barriers boundary conditions
• scientific article; zbMATH DE number 4048210 (Why is no real title available?)
• scientific article; zbMATH DE number 1322545 (Why is no real title available?)
• APPROXIMATION BY POSITIVE OPERATORS OF THE C₀–SEMIGROUPS ASSOCIATED WITH ONE-DIMENSIONAL DIFFUSION EQUATIONS: PART II
• Markov processes and positive semigroups on some classes of weighted continuous function spaces

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