Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations

DOI10.1137/S0040585X97T987776zbMath1443.60045OpenAlexW2519208056MaRDI QIDQ2821763

Kathrin Glau

Publication date: 23 September 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987776

zbMATH Keywords

Galerkin methodLévy processesoption pricingweak solutionsparabolic evolution equationSobolev-Slobodeckii spacesPIDEssymbol of a Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Ill-posed problems for PDEs (35R25) Probabilistic potential theory (60J45) Generalized stochastic processes (60G20) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10)

Related Items (4)

A Flexible Galerkin Scheme for Option Pricing in Lévy Models ⋮ A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates ⋮ A finite elements approach for spread contract valuation via associated two-dimensional PIDE ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing

Cites Work

• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
• Estimation of the activity of jumps in time-changed Lévy models
• On the existence of smooth densities for jump processes
• Computational methods for quantitative finance. Finite element methods for derivative pricing
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• Sobolev index: A classification of L\'evy processes
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Wavelet Discretizations of Parabolic Integrodifferential Equations
• Variational Solutions of the Pricing PIDEs for European Options in Lévy Models
• Fast deterministic pricing of options on Lévy driven assets
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• Galerkin Finite Element Methods for Parabolic Problems
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