Introducing and solving generalized Black-Scholes PDEs through the use of functional calculus

DOI10.1007/s00028-022-00858-8OpenAlexW4313372246MaRDI QIDQ2677627

Jesús Oliva-Maza, Mahamadi Warma

Publication date: 5 January 2023

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.15463

zbMATH Keywords

functional calculussectorial operatorsholomorphic semigroupsbisectorial-like operatorsgeneralized Black-Scholes equationsRiemann-Liouville space-fractional derivativeWeyl space-fractional derivative

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Fractional derivatives and integrals (26A33) Functional calculus for linear operators (47A60) Operator theory (47-XX) Sectorial operators (47B12)

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