Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes

DOI10.15330/CMP.10.2.273-287MaRDI QIDQ4633469zbMATH OpenOpenAlexWikidataFDO

Authors I. V. Burtnyak, G. P. Malyts'ka

Publication date 3 May 2019

Published in Carpathian Mathematical Publications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.15330/cmp.10.2.273-287

zbMATH Keywords

spectral theoryinfinitesimal generatorsingular perturbation theorySturm-Liouville theorymultidimensional diffusionregular perturbation theory

Mathematics Subject Classification ID

Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A jump to default extended CEV model: an application of Bessel processes
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• Handbooks in operations research and management science: Financial engineering
• Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
• Pricing double barrier options using Laplace transforms
• Singular Perturbations in Option Pricing
• Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
• Time-changed Markov processes in unified credit-equity modeling

Cited in

(3)

• Perturbation theory for a stochastic process with Ornstein-Uhlenbeck noise
• scientific article; zbMATH DE number 6308150 (Why is no real title available?)
• scientific article; zbMATH DE number 1996150 (Why is no real title available?)

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