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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Glau, K. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
A classification of Lévy processes via their symbols and its application to Finance 
Abstract:
We classify Lévy processes according to the solution spaces of the associated parabolic PIDEs. This classification reveals structural characteristics of the processes and is relevant for applications such as for solving PIDEs numerically for pricing options in Lévy models. The classification is done via the Fourier transform i.e. via the symbol of the process. We define the Sobolev index of a Lévy process by a certain growth condition on the symbol. It follows that for Lévy processes with Sobo...    »
 
Stichworte:
Lévy processes, PIDEs, weak solutions, parabolic evolution equation, Sobolev-Slobodeckii-spaces, pseudo differential operator, option pricing. 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
working paper 
Jahr:
2012 
Seitenangaben Beitrag:
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein