On Kolmogorov equations for anisotropic multivariate Lévy processes
نویسندگان
چکیده
منابع مشابه
On Kolmogorov equations for anisotropic multivariate Lévy processes
For d-dimensional exponential Lévy models, variational formulations of the Kolmogorov equations arising in asset pricing are derived. Well-posedness of these equations is verified. Particular attention is paid to pure jump, d-variate Lévy processes built from parametric, copula dependence models in their jump structure. The domains of the associated Dirichlet forms are shown to be certain aniso...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2009
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-009-0108-x