Short-time asymptotic expansions of semilinear evolution equations

DOI10.1017/S0308210515000372zbMath1342.35061OpenAlexW2500381516MaRDI QIDQ2799613

Matthias Albrecht Fahrenwaldt

Publication date: 13 April 2016

Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0308210515000372

zbMATH Keywords

backward stochastic differential equationsasymptotic expansionssemilinear evolution equationsBanach Algebras

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) General theory of infinite-dimensional dissipative dynamical systems, nonlinear semigroups, evolution equations (37L05) Semilinear parabolic equations (35K58) Heat kernel (35K08)

Related Items (1)

Numerical methods for backward stochastic differential equations: a survey

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Numerical simulation of BSDEs with drivers of quadratic growth
• Partial differential equations. III: Nonlinear equations.
• Conjugate convex functions in optimal stochastic control
• Heat kernel expansion: user's manual
• Representation theorems for backward stochastic differential equations
• Functional calculus of pseudodifferential boundary problems.
• Stochastic calculus of variations in mathematical finance.
• Stochastic differential equations, backward SDEs, partial differential equations
• Curvature and the eigenvalues of the Laplacian
• An asymptotic expansion for the heat equation
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• Backward Stochastic Differential Equations in Finance
• On the Principle of not Feeling the Boundary for Diffusion Processes
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• On the Spanning Property of Risk Bonds Priced by Equilibrium

This page was built for publication: Short-time asymptotic expansions of semilinear evolution equations