Integro-differential operators associated with diffusion processes with jumps

DOI10.1007/BF01460124zbMath0513.45014WikidataQ60231303 ScholiaQ60231303MaRDI QIDQ1050578

Suzanne M. Lenhart

Publication date: 1982

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

regularityexistencea priori estimatesdiffusion process with jumpsmaximum principle type operatorssecond order uniformly elliptic operator

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Diffusion processes (60J60)

Related Items (13)

The boundary harnack principle for some degenerate elliptic operators ⋮ Solution to HJB equations with an elliptic integro-differential operator and gradient constraint ⋮ User’s guide to viscosity solutions of second order partial differential equations ⋮ Ventcel' boundary value problems for elliptic Waldenfels operators ⋮ Remarks on Schauder estimates and existence of classical solutions for a class of uniformly parabolic Hamilton-Jacobi-Bellman integro-PDEs ⋮ Uniqueness for integro-PDE in Hilbert spaces ⋮ Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes ⋮ Singular integrals and Feller semigroups with jump phenomena ⋮ Nonclassical boundary-value problems. II ⋮ Nonclassical boundary value problems. I. Transl. from the Russian ⋮ Optimal impulse control problems for degenerate diffusions with jumps ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes ⋮ Dirichlet problems with discontinuous coefficients and Feller semigroups

Cites Work

• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• Elliptic Partial Differential Equations of Second Order
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