[图书][B] Mathematical finance
E Eberlein, J Kallsen - 2019 - Springer
Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Transition density estimates for diagonal systems of SDEs driven by cylindrical -stable processes
T Kulczycki, M Ryznar - arXiv preprint arXiv:1711.07539, 2017 - arxiv.org
We consider the system of stochastic differential equation $ dX_t= A (X_ {t-})\, dZ_t $, $ X_0=
x $, driven by cylindrical $\alpha $-stable process $ Z_t $ in $\mathbb {R}^ d $. We assume …
x $, driven by cylindrical $\alpha $-stable process $ Z_t $ in $\mathbb {R}^ d $. We assume …
Existence of (Markovian) solutions to martingale problems associated with Lévy-type operators
F Kühn - 2020 - projecteuclid.org
We study the existence of (Markovian) solutions to the (A,C_c^∞(R^d))-martingale problem
associated with the Lévy-type operator A with symbol q(x,ξ). Firstly, we establish conditions …
associated with the Lévy-type operator A with symbol q(x,ξ). Firstly, we establish conditions …
Subexponential upper and lower bounds in Wasserstein distance for Markov processes
N Sandrić, A Arapostathis, G Pang - Applied Mathematics & Optimization, 2022 - Springer
In this article, relying on Foster–Lyapunov drift conditions, we establish subexponential
upper and lower bounds on the rate of convergence in the L p-Wasserstein distance for a …
upper and lower bounds on the rate of convergence in the L p-Wasserstein distance for a …
[HTML][HTML] Schauder estimates for Poisson equations associated with non-local Feller generators
F Kühn - Journal of Theoretical Probability, 2021 - Springer
We show how Hölder estimates for Feller semigroups can be used to obtain regularity
results for solutions to the Poisson equation Af= g A f= g associated with the (extended) …
results for solutions to the Poisson equation Af= g A f= g associated with the (extended) …
A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
MB Majka - arXiv preprint arXiv:1612.03824, 2016 - arxiv.org
We extend some methods developed by Albeverio, Brze\'{z} niak and Wu and we show how
to apply them in order to prove existence of global strong solutions of stochastic differential …
to apply them in order to prove existence of global strong solutions of stochastic differential …
On fully nonlinear parabolic mean field games with examples of nonlocal and local diffusions
In this paper we introduce a class of fully nonlinear mean field games posed in $[0,
T]\times\mathbb {R}^ d $. We justify that they are related to controlled local or nonlocal …
T]\times\mathbb {R}^ d $. We justify that they are related to controlled local or nonlocal …
[HTML][HTML] Feller generators with measurable lower order terms
We study perturbations of Feller generators by 'lower order terms' with measurable
coefficients. We investigate which properties of the original semigroup—such as positivity …
coefficients. We investigate which properties of the original semigroup—such as positivity …
Perpetual integrals via random time changes
F Kühn - 2019 - projecteuclid.org
Abstract Let (X_t)_t\geq0 be a d-dimensional Feller process with symbol q, and let
f:R^d→(0,∞) be a continuous function. In this paper, we establish a growth condition in …
f:R^d→(0,∞) be a continuous function. In this paper, we establish a growth condition in …
A strongly degenerate fully nonlinear mean field game with nonlocal diffusion
I Chowdhury, ER Jakobsen, M Krupski - arXiv preprint arXiv:2409.00152, 2024 - arxiv.org
There are few results on mean field game (MFG) systems where the PDEs are either fully
nonlinear or have degenerate diffusions. This paper introduces a problem that combines …
nonlinear or have degenerate diffusions. This paper introduces a problem that combines …