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Stochastics and Stochastic Reports Volume 76, 2004 - Issue 2
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Original Articles

Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations

Anna Lisa Amadori* Istituto per le Applicazioni del Calcolo “M. Picone”, Consiglio Nazionale delle Ricerche, Viale del Policlinico 137, I-00161, Roma, Italy
,
Kenneth H. Karlsen† Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, P.O. Box, Blindern, N-0316, Oslo, Norway
&
Claudia La Chioma Dipartimento di Matematica Pura ed Applicata, Università di Roma “La Sapienza”, Piazzale Aldo Moro 2, I-00161, Roma, ItalyCorrespondence[email protected]
Pages 147-177 | Received 06 Aug 2003, Accepted 12 Feb 2004, Published online: 21 Aug 2006

Citations (10)

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Fred Espen Benth & Martin Groth. (2009) The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model. Stochastic Analysis and Applications 27:5, pages 875-896.
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Articles from other publishers (9)

Temur Jangveladze & Zurab Kiguradze. (2016) Finite difference scheme for one nonlinear parabolic integro-differential equation. Transactions of A. Razmadze Mathematical Institute 170:3, pages 395-401.
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. 2016. Numerical Solutions of Three Classes of Nonlinear Parabolic Integro-Differential Equations. Numerical Solutions of Three Classes of Nonlinear Parabolic Integro-Differential Equations 179 234 .
Andrzej Świe̢ch & Jerzy Zabczyk. (2011) Uniqueness for Integro-PDE in Hilbert Spaces. Potential Analysis 38:1, pages 233-259.
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Temur A. Jangveladze & Zurab V. Kiguradze. (2010) Asymptotics for large time of solutions to nonlinear system associated with the penetration of a magnetic field into a substance. Applications of Mathematics 55:6, pages 471-493.
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Temur Jangveladze, Zurab Kiguradze & Beny Neta. (2009) Large time behavior of solutions to a nonlinear integro-differential system. Journal of Mathematical Analysis and Applications 351:1, pages 382-391.
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Temur Jangveladze, Zurab Kiguradze & Beny Neta. (2009) Large time behavior of solutions and finite difference scheme to a nonlinear integro-differential equation. Computers & Mathematics with Applications 57:5, pages 799-811.
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Espen R. Jakobsen, Kenneth H. Karlsen & Claudia La Chioma. (2008) Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions. Numerische Mathematik 110:2, pages 221-255.
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Rainer Buckdahn, Jin Ma & Catherine Rainer. (2008) Stochastic control problems for systems driven by normal martingales. The Annals of Applied Probability 18:2.
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Anna Lisa Amadori. (2007) Obstacle problem for nonlinear integro-differential equations arising in option pricing. Ricerche di Matematica 56:1, pages 1-17.
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