Positive Semigroups Generated by Degenerate Second-Order Differential Operators

DOI10.1619/FESI.51.431MaRDI QIDQ3626833zbMATHOpenAlexFDO

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 equationpositive semigrouptransition semigroupweighted continuous function spaceWentzel boundary conditiondegenerate second-order differential operatormaximal boundary condition

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Initial value problems for second-order parabolic equations (35K15) 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.
• Degenerate second order differential operators with generalized reflecting barriers boundary conditions
• scientific article; zbMATH DE number 5509977
• Differential operators with second-order degeneracy and positive approximation processes.

Cited in

(10)

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

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