On Kolmogorov equations for anisotropic multivariate Lévy processes

DOI10.1007/s00780-009-0108-xzbMath1226.91092OpenAlexW1995653720MaRDI QIDQ650769

Christoph Schwab, Nils Reich, Christoph Winter

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/27293

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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