Ionut Florescu, Maria Cristina Mariani
Abstract:
We study an integro-differential parabolic problem modelling
a process with jumps and stochastic volatility in financial
mathematics. Under suitable conditions, we prove the existence
of solutions in a general domain using the method of upper
and lower solutions and a diagonal argument.
Submitted September 10, 2009. Published May 5, 2010.
Math Subject Classifications: 35K99, 45K05, 91680.
Key Words: Integro-differential parabolic equations; financial mathematics,
Levy markets; jumps processes; stochastic volatility
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Ionut Florescu Department of Mathematical Sciences Stevens Institute of Technology Castle Point on Hudson, Hoboken, NJ 07030, USA email: Ionut.Florescu@stevens.edu |
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Maria Christina Mariani Department of Mathematical Sciences The University of Texas at El Paso Bell Hall 124, El Paso, TX 79968-0514, USA email: mcmariani@utep.edu |
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