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20092023
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 55 across the 16 of their papers we have counts for

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math.PR2017★ 3 cited

Stochastic Representations for Solutions to Parabolic Dirichlet Problems for Nonlocal Bellman Equations

Ruoting Gong, Chenchen Mou, Andrzej Swiech

We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differ…