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math.AP2016★ 1 cited
Harnack inequalities and Bounds for Densities of Stochastic Processes
Gennaro Cibelli, Sergio Polidoro
We consider possibly degenerate parabolic operators in the form that are naturally associated to a suitable family of stochastic d…
math.AP2016
Sharp Estimates for Geman-Yor Processes and applications to Arithmetic Average Asian options
Gennaro Cibelli, Sergio Polidoro, Francesco Rossi
We prove the existence and pointwise lower and upper bounds for the fundamental solution of the degenerate second order partial differential equation related to Geman-Yor stochasti…