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Document type:
Zeitschriftenaufsatz 
Author(s):
Glau, Kathrin 
Title:
Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations 
Abstract:
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to compute option prices in Lévy models by solving partial integro differential equations have been developed. In order to provide a solid mathematical foundation for these methods, we derive a Feynman-Kac representation of variational solutions to partial integro d...    »
 
Keywords:
Lévy processes, PIDEs, symbol of a Léevy process, weaksolutions, parabolic evolution equation, Sobolev-Slobodeckii spaces, Galerkin method, option pricing 
Journal title:
SIAM Journal Theory of Probability and Its Application 
Year:
2016 
Journal issue:
60/3 
Pages contribution:
383–406 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
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