scientific article; zbMATH DE number 473351
From MaRDI portal
Publication:4272982
zbMath0806.45007MaRDI QIDQ4272982
Maria Giovanna Garroni, José Luis Menaldi
Publication date: 6 December 1993
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dirichlet problemheat equationmaximum principlesconvolutionCauchy problemfundamental solutionpositivityinitial-boundary value problemsGreen functionstochastic representationNeumann problemdouble layer potentialtransition probabilitysingle layer potentialsemigroup propertymethod of successive approximationsoblique derivative problemintegral transformationsIto's formulaparabolic integro-differential equationLevi's parametrix methodMarkov-Feller processesPoisson functionspropagation of the singularityGreen function spaces
Continuous-time Markov processes on general state spaces (60J25) Integro-partial differential equations (45K05) Transition functions, generators and resolvents (60J35) Integro-differential operators (47G20) Research exposition (monographs, survey articles) pertaining to integral equations (45-02)
Related Items (97)
Rigorous Justification of the Fokker--Planck Equations of Neural Networks Based on an Iteration Perspective ⋮ Asymptotic traveling wave solution for a credit rating migration problem ⋮ On critical exponents for the heat equation with a nonlinear boundary condition ⋮ Sharp heat kernel estimates for spectral fractional Laplacian perturbed by gradients ⋮ Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ A nonlocal Fokker-Planck equation for non-Gaussian stochastic dynamical systems ⋮ Free boundary problem pricing defaultable corporate bonds with multiple credit rating migration risk and stochastic interest rate ⋮ The blow-up estimate for heat equations with nonlinear boundary conditions ⋮ Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions ⋮ Measuring Impact of Random Jumps Without Sample Path Generation ⋮ On Some Ergodic Impulse Control Problems with Constraint ⋮ Asymptotic patterns of a structured population diffusing in a two-dimensional strip ⋮ Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations ⋮ Zero kinetic undercooling limit in the supercooled Stefan problem ⋮ Spreading speeds and traveling waves for periodic evolution systems ⋮ Holomorphic transforms with application to affine processes ⋮ Boundary value problems for elliptic integro-differential operators ⋮ An integro-differential parabolic variational inequality connected with the problem of the American option pricing ⋮ Blow-up rates for parabolic systems ⋮ Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients ⋮ Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation ⋮ Weak uniqueness and density estimates for SDEs with coefficients depending on some path-functionals ⋮ Value function regularity in option pricing problems under a pure jump model ⋮ Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space ⋮ Green and Poisson functions with Wentzell boundary conditions ⋮ Aleksandrov-Bakelman-Pucci maximum principles for a class of uniformly elliptic and parabolic integro-PDE ⋮ Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors ⋮ Remarks on Schauder estimates and existence of classical solutions for a class of uniformly parabolic Hamilton-Jacobi-Bellman integro-PDEs ⋮ Existence-Uniqueness for Nonlinear Integro-differential Equations with Drift in \({\boldsymbol{\mathbb{R}}^{{\textrm{d}}}}\) ⋮ Distribution dependent reflecting stochastic differential equations ⋮ Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions ⋮ Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models ⋮ On limiting behavior of stationary measures for stochastic evolution systems with small noise intensity ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Evolution equations driven by a fractional Brownian motion ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ Spatial dynamics of a nonlocal reaction-diffusion epidemic model in time-space periodic habitat ⋮ Lipschitz regularity of solutions for mixed integro-differential equations ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Modified flux-vector-based Green element method for problems in steady-state anisotropic media ⋮ Singular density dependent stochastic differential equations ⋮ Asymptotic speeds of spread and traveling waves for integral equations and delayed reaction--diffusion models. ⋮ Unnamed Item ⋮ Splitting Methods for Fokker-Planck Equations Related to Jump-Diffusion Processes ⋮ Speed selection for traveling waves of a reaction-diffusion-advection equation in a cylinder ⋮ Numerical solution of two asset jump diffusion models for option valuation ⋮ Time periodic traveling wave solutions for periodic advection-reaction-diffusion systems ⋮ Blow-up rates for semilinear parabolic systems with nonlinear boundary conditions ⋮ Second-order elliptic integro-differential equations: viscosity solutions' theory revisited ⋮ On the Existence and Uniqueness of Solutions to Time-Dependent Fractional MFG ⋮ Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation ⋮ Dirichlet boundary value problems for elliptic operators with measure data ⋮ On solvability of integro-differential equations ⋮ A nonlocal diffusion model of a single species with age structure ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ Obstacle problem for nonlinear integro-differential equations arising in option pricing ⋮ CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES ⋮ Spreading speeds of rabies with territorial and diffusing rabid foxes ⋮ Williams decomposition for superprocesses ⋮ Numerical simulations of spread of rabies in a spatially distributed fox population ⋮ Boundary Harnack principle for Brownian motions with measure-valued drifts in bounded Lipschitz domains ⋮ Unnamed Item ⋮ A non-local delayed and diffusive predator-prey model. ⋮ Solvability and maximal regularity of parabolic evolution equations with coefficients continuous in time ⋮ Pricing approximations and error estimates for local Lévy-type models with default ⋮ A family of density expansions for Lévy-type processes ⋮ A new well-posed nonlinear nonlocal diffusion ⋮ Spreading speed for a nonlocal diffusive delayed model without quasi-monotonicity ⋮ Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory ⋮ Uniqueness of the Solution to a Difference-Partial Differential Equation for Finance ⋮ Stability of undercompressive shock profiles ⋮ Nonlinear stability for multidimensional fourth-order shock fronts ⋮ Spreading speeds and traveling waves for abstract monostable evolution systems ⋮ A note on the nonlinear Volterra integral equation for the early exercise boundary ⋮ Integration by parts formula for killed processes: a point of view from approximation theory ⋮ Continuous dependence estimates for viscosity solutions of integro-PDEs ⋮ Multiscale exponential Lévy-type models ⋮ Fractal first-order partial differential equations ⋮ Joint Hölder continuity of local time for a class of interacting branching measure-valued diffusions ⋮ On the existence of Feller semigroups with discontinuous coefficients ⋮ A free boundary problem for defaultable corporate bond with credit rating migration risk and its asymptotic behavior ⋮ Reflected Brownian motion with singular drift ⋮ Fractional semi-linear parabolic equations with unbounded data ⋮ A mathematical analysis of an age-space-structured autosomal diploid population dynamics model with random mating and females' pregnancy ⋮ Complexity and tractability for a class of elliptic partial integro-differential equations ⋮ Dirichlet problems with discontinuous coefficients and Feller semigroups ⋮ Maximum principles for nonlocal parabolic Waldenfels operators ⋮ Asymptotic speeds of spread and traveling waves for monotone semiflows with applications ⋮ The Existence of Optimal Bang-Bang Controls for GMxB Contracts ⋮ Numerical Methods and Volatility Models for Valuing Cliquet Options ⋮ Persistence and extinction in two species reaction-diffusion systems with delays ⋮ Unnamed Item ⋮ A free boundary problem for corporate bond with credit rating migration ⋮ Propagation dynamics for an age-structured population model in time-space periodic habitat ⋮ Global solvability of a networked integrate-and-fire model of McKean-Vlasov type ⋮ Integro-partial differential equations with singular terminal condition
This page was built for publication:
