Generalized Feynman-Kac formula under volatility uncertainty
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Publication:6184921
DOI10.1016/j.spa.2022.12.003arXiv2012.08163OpenAlexW3113064783MaRDI QIDQ6184921
Andrea Mazzon, Bahar Akhtari, Katharina Oberpriller, Francesca Biagini
Publication date: 29 January 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.08163
Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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