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math.AP2020
Existence of a Fundamental Solution of Partial Differential Equations associated to Asian Options
Francesca Anceschi, Silvia Muzzioli, Sergio Polidoro
We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for th…
math.AP2020
Fundamental solutions for Kolmogorov-Fokker-Planck operators with time-depending measurable coefficients
Marco Bramanti, Sergio Polidoro
We consider a Kolmogorov-Fokker-Planck operator of the kind studied by Lanconelli-Polidoro in [Rend. Sem. Mat. Univ. Politec. Torino 52 (1994)], where the leading coefficients $a_{…