On a class of problems related to financial mathematics

DOI10.1007/S00009-024-02723-ZMaRDI QIDQ6632402zbMATH OpenFDO

Authors Gisèle Ruiz Goldstein, Jerome A. Goldstein, Silvia Romanelli

Publication date 4 November 2024

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00009-024-02723-Z

zbMATH Keywords

connections with Cox-Ingersoll-Ross equationnonautonomous evolution problemsoperator semigroups and groups

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) One-parameter semigroups and linear evolution equations (47D06)

Cites work

• A generalized Cox-Ingersoll-Ross equation with growing initial conditions
• A new explicit formula for the solution of the Black-Merton-Scholes equation
• A nonautonomous Cox-Ingersoll-Ross equation with growing initial conditions
• A theory of the term structure of interest rates
• Analyticity of the Cox-Ingersoll-Ross semigroup
• Generators of Feller semigroups with coefficients depending on parameters and optimal estimators
• scientific article; zbMATH DE number 6525973 (Why is no real title available?)
• scientific article; zbMATH DE number 193487 (Why is no real title available?)
• scientific article; zbMATH DE number 6725703 (Why is no real title available?)
• Integration of the equation of evolution in a Banach space
• On a degenerate elliptic‐parabolic equation occurring in the theory of probability
• One-Parameter Semigroups for Linear Evolution Equations
• The chaotic Black-Scholes equation with time-dependent coefficients
• The pricing of options and corporate liabilities
• The semigroup governing the generalized Cox-Ingersoll-Ross equation
• Two singular diffusion problems

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