7 citations · 20 across the 28 of their papers we have counts for
4 papers · 1 filter
Analitic approach to solve a degenerate parabolic PDE for the Heston model
A. Canale, R. M. Mininni, A. Rhandi
We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an Europ…
Schrödinger type operators with unbounded diffusion and potential terms
Anna Canale, Abdelaziz Rhandi, Cristian Tacelli
We prove that the realization in , of the Schrödinger type operator with domain $D(A_p)=\{u\in W^{2,p}(\mathbb{R}^N): Au\…
A multispecies birth-death-immigration process and its diffusion approximation
Antonio Di Crescenzo, Barbara Martinucci, Abdelaziz Rhandi
We consider an extended birth-death-immigration process defined on a lattice formed by the integers of semiaxes joined at the origin. When the process reaches the origin, then…
Kernel estimates for nonautonomous Kolmogorov equations with potential term
Markus Kunze, Luca Lorenzi, Abdelaziz Rhandi
Using time dependent Lyapunov functions, we prove pointwise upper bounds for the heat kernels of some nonautonomous Kolmogorov operators with possibly unbounded drift and diffusion…