most citedHeat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model

2 citations · 2 across the 1 of their papers we have counts for

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math.AP2016★ 2 cited

Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model

Siyan Zhang, Anna L. Mazzucato, Victor Nistor

We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of sto…