Support of a Marcus equation in dimension 1.
Simon, Thomas (2000)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “Small diffusion and fast dying out asymptotics for superprocesses as non-Hamiltonian quasiclassics for evolution equations.”
Support of a Marcus equation in dimension 1.
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Variational analysis for the Black and Scholes equation with stochastic volatility
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ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
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We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a...
Wave packets techniques
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Séminaire Équations aux dérivées partielles
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