A continuous dependence result for ultraparabolic equations in option pricing

DOI10.1016/j.jmaa.2007.03.031zbMath1152.35063OpenAlexW2129268521MaRDI QIDQ2381921

Andrea Pascucci, Marco Di Francesco

Publication date: 26 September 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2007.03.031

zbMATH Keywords

option pricingKolmogorov equationcontinuous dependenceultraparabolic equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) PDEs with randomness, stochastic partial differential equations (35R60) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (14)

Nonclassical problem for ultraparabolic equation in abstract spaces ⋮ Existence of solutions for hybrid systems of differential equations under exogenous information with discontinuous source term ⋮ Characterization of solutions of a class of ultraparabolic equations of the Kolmogorov type ⋮ Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients ⋮ Fundamental solutions for degenerate parabolic equations: existence, properties, and some applications ⋮ Backward and forward filtering under the weak Hörmander condition ⋮ Iterative regularization method for an abstract inverse Goursat problem ⋮ A finite difference scheme for nonlinear ultra-parabolic equations ⋮ On the Classical Fundamental Solutions of the Cauchy Problem for Ultraparabolic Kolmogorov-Type Equations with Two Groups of Spatial Variables ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ On the regularization of solution of an inverse ultraparabolic equation associated with perturbed final data ⋮ On stochastic Langevin and Fokker-Planck equations: the two-dimensional case ⋮ On Fujita critical exponent for a nonlinear ultraparabolic equation in an exterior domain

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