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20092019
most citedOn stochastic Langevin and Fokker-Planck equations: the two-dimensional case

2 citations · 2 across the 4 of their papers we have counts for

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Showing 2016Show all

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math.PR2016

Nash estimates and upper bounds for non-homogeneous Kolmogorov equations

Alberto Lanconelli, Andrea Pascucci

We prove a Gaussian upper bound for the fundamental solutions of a class of ultra-parabolic equations in divergence form. The bound is independent on the smoothness of the coeffici…

q-fin.PR2016

Pricing Bermudan options under local Lévy models with default

Anastasia Borovykh, Cornelis W. Oosterlee, Andrea Pascucci

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Lévy-type martingale. This class of models allows for a local volatility, local…