69 citations · 83 across the 13 of their papers we have counts for
12 papers · 1 filter
Differentiability of transition semigroup of generalized Ornstein-Uhlenbeck process: a probabilistic approach
Ben Goldys, Szymon Peszat
Let , be the transition semigroup on the space of bounded measurable functions on a Banach space , of the Markov family defined by the l…
Heath-Jarrow-Merton model with linear volatility
S. Peszat, J. Zabczyk
We consider the Heath-Jarrow-Morton model of forward rates processes with linear volatility. The noise is either a Wiener or a pure jump Leevy process. We provide formulae for the…
Linear parabolic equation with Dirichlet white noise boundary conditions
Beniamin Goldys, Szymon Peszat
We study inhomogeneous Dirichlet boundary value problems associated to a linear parabolic equation with strongly elliptic operator on bounded and unbounded d…
On Linear Stochastic Flows
Beniamin Goldys, Szymon Peszat
We study the existence of the stochastic flow associated to a linear stochastic evolution equation on a Hilbert space. Our first result co…
The investor problem based on the HJM model
Szymon Peszat, Dariusz Zawisza
We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with…
Ergodicity of Burgers' system
Szymon Peszat, Krystyna Twardowska, Jerzy Zabczyk
We consider a stochastic version of a system of coupled two equations formulated by Burgers with the aim to describe the laminar and turbulent motions of a fluid in a channel. The…