14 citations · 44 across the 33 of their papers we have counts for
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Maximal irreducibility measure for spatial birth-and-death processes
Viktor Bezborodov, Luca Di Persio
We prove that under certain general conditions on the birth and death rates the Lebesgue-Poisson measure is a maximal irreducibility measure for the spatial birth-and-death process…
Asymptotic shape and the speed of propagation of continuous-time continuous-space birth processes
Viktor Bezborodov, Luca Di Persio, Tyll Krueger +2
We formulate and prove a shape theorem for a continuous-time continuous-space stochastic growth model under certain general conditions. Similarly to the classical lattice growth mo…
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Viktor Bezborodov, Luca Di Persio, Yuliya Mishura
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework cha…
A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
Francesco Cordoni, Luca Di Persio, Lucian Maticiuc +1
We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: \[ \begin{cases} \partial_{t}u(t,ϕ)+\mathcal{L}u(t,ϕ)+f(t,ϕ,u(t,ϕ),\pa…
A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
Francesco Cordoni, Luca Di Persio, Immacolata Oliva
We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure di…