Kai Du

activity

20092023

most citedAnalytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives

16 citations · 58 across the 27 of their papers we have counts for

collaborators

Showing 2011 · math.PRShow all

2 papers · 2 filters

math.PR2011★ 1 cited

Semi-linear Degenerate Backward Stochastic Partial Differential Equations and Associated Forward Backward Stochastic Differential Equations

Kai Du, Qi Zhang

In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technica…

math.PR2011★ 7 cited

$W^{m, p}$ -Solution ( $p \geq 2$ ) of Linear Degenerate Backward Stochastic Partial Differential Equations in the Whole Space

Kai Du, Shanjian Tang, Qi Zhang

In this paper, we consider the backward Cauchy problem of linear degenerate stochastic partial differential equations. We obtain the existence and uniqueness results in Sobolev spa…

Semi-linear Degenerate Backward Stochastic Partial Differential Equations and Associated Forward Backward Stochastic Differential Equations

Wm,p-Solution (p≥2) of Linear Degenerate Backward Stochastic Partial Differential Equations in the Whole Space

$W^{m, p}$ -Solution ( $p \geq 2$ ) of Linear Degenerate Backward Stochastic Partial Differential Equations in the Whole Space