Sobolev index: A classification of L\'evy processes

zbMath1274.91003arXiv1203.0866MaRDI QIDQ3161752

Kathrin Glau

Publication date: 18 October 2010

Full work available at URL: https://arxiv.org/abs/1203.0866

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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