The Cauchy-Dirichlet problem for a class of linear parabolic differential equations with unbounded coefficients in an unbounded domain

DOI10.1155/2011/469806zbMATH Open1226.60090OpenAlexW2075328877WikidataQ58688912 ScholiaQ58688912MaRDI QIDQ638028FDOQ638028

Authors: Gerardo Rubio 

Publication date: 8 September 2011

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/469806

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zbMATH Keywords

stochastic differential equationsnonhomogeneous Cauchy-Dirichlet problemparabolic differential equations in bounded domains

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (5)

• Extended Black and Scholes model under bankruptcy risk
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• A semigroup expansion for pricing barrier options
• Existence and uniqueness to the Cauchy problem for linear and semilinear parabolic equations with local conditions
• The Cauchy problem for parabolic equations with unbounded coefficients

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