Kolmogorov equations arising in finance: direct and inverse problems

zbMATH Open1140.35499MaRDI QIDQ5447271FDOQ5447271

Authors: Paolo Foschi, Andrea Pascucci 

Publication date: 6 March 2008

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zbMATH Keywords

model calibrationarbitrage valuationestimation of stochastic processes

Mathematics Subject Classification ID

Mathematical economics (91B99) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Inverse problems for PDEs (35R30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Cited In (8)

• Characterization of solutions of a class of ultraparabolic equations of the Kolmogorov type
• Fundamental solutions for degenerate parabolic equations: existence, properties, and some applications
• On the Classical Fundamental Solutions of the Cauchy Problem for Ultraparabolic Kolmogorov-Type Equations with Two Groups of Spatial Variables
• Title not available (Why is that?)
• A Fokker-Planck control framework for stochastic systems
• Fundamental solutions to Kolmogorov equations via reduction to canonical form
• Title not available (Why is that?)
• Title not available (Why is that?)

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