Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing

The purpose of this paper is to analyze solutions of a non-local nonlinear partial integro-differential equation (PIDE) in multidimensional spaces. Such class of PIDE often arises in financial modeling. We employ the theory of abstract semilinear parabolic equations in order to prove existence and u...

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Veröffentlicht in:	Mathematics (Basel) Jg. 9; H. 13; S. 1463
Hauptverfasser:	Ševčovič, Daniel, Udeani, Cyril Izuchukwu
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Basel MDPI AG 01.07.2021
Schlagworte:	bessel potential spaces Differential equations Food science hölder continuity lévy measure Mathematical functions option pricing partial integro-differential equation Pricing Put & call options Stochastic models Stochastic processes strong kernel Uniqueness Variables
ISSN:	2227-7390, 2227-7390
Online-Zugang:	Volltext
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