Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE

DOI10.1016/J.JMAA.2005.02.058MaRDI QIDQ2569895zbMATH OpenOpenAlexFDO

Authors Emmanuel Haven

Publication date 24 October 2005

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2005.02.058

zbMATH Keywords

WKB approximationbackward Kolmogorov PDESchrödinger PDE

Mathematics Subject Classification ID

PDEs in connection with quantum mechanics (35Q40) Semiclassical techniques, including WKB and Maslov methods applied to problems in quantum theory (81Q20)

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Cites work

• scientific article; zbMATH DE number 3649136 (Why is no real title available?)
• scientific article; zbMATH DE number 3075634 (Why is no real title available?)
• A semigroup approach to American options
• Option pricing with Weyl-Titchmarsh theory
• The pricing of options and corporate liabilities

Cited in

(7)

• Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories
• Quantum model for the price dynamics: The problem of smoothness of trajectories
• New analytical option pricing models with Weyl–Titchmarsh theory
• The Blackwell and Dubins theorem and Rényi's amount of information measure: Some applications
• Private information and the `Information function': A survey of possible uses
• Fundamental solutions to Kolmogorov equations via reduction to canonical form
• The variation of financial arbitrage via the use of an information wave function

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