Classification of Lévy processes with parabolic Kolmogorov backward equations

DOI10.1137/S0040585X97T987776zbMATH Open1443.60045OpenAlexW2519208056MaRDI QIDQ2821763FDOQ2821763

Authors: Kathrin Glau 

Publication date: 23 September 2016

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987776

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zbMATH Keywords

option pricingGalerkin methodweak solutionsparabolic evolution equationSobolev-Slobodeckii spacesPIDEsLévy processessymbol of a Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (45K05) Second-order parabolic equations (35K10) Ill-posed problems for PDEs (35R25) Generalized stochastic processes (60G20) Probabilistic potential theory (60J45)

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Cited In (6)

• Magic Points in Finance: Empirical Integration for Parametric Option Pricing
• Criteria for the finiteness of the strong \(p\)-variation for Lévy-type processes
• Monte Carlo method for pricing lookback type options in Lévy models
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models
• A finite elements approach for spread contract valuation via associated two-dimensional PIDE
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates

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