Spectrum and asymptotics of the Black-Scholes partial differential equation in (L^ 1,L^ )-inter\-polation spaces.

DOI10.2140/PJM.2002.202.1MaRDI QIDQ700632zbMATH OpenOpenAlexWikidataFDO

Authors Wolfgang Arendt, B. de Pagter

Publication date 22 October 2002

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

Full work available at URL https://doi.org/10.2140/pjm.2002.202.1

zbMATH Keywords

geometric Brownian motionBoyd indices\(C_0\)-group

Mathematics Subject Classification ID

Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Second-order parabolic equations (35K10) General topics in linear spectral theory for PDEs (35P05) Applications of functional analysis to differential and integral equations (46N20) One-parameter semigroups and linear evolution equations (47D06) Abstract interpolation of topological vector spaces (46M35)

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Cited in

(7)

• Chaotic solution for the Black-Scholes equation
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• Local approach to order continuity in Cesàro function spaces
• RKH spaces of Brownian type defined by Cesàro-Hardy operators
• The chaotic Black-Scholes equation with time-dependent coefficients
• Introducing and solving generalized Black-Scholes PDEs through the use of functional calculus
• On the boundedness of generalized Cesàro operators on Sobolev spaces

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