53 citations · 217 across the 49 of their papers we have counts for
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math.PR2010
On backward stochastic differential equations approach to valuation of American options
Tomasz Klimsiak, Andrzej Rozkosz
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value functio…
math.PR2010
Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
Tomasz Klimsiak
We prove that under natural assumptions on the data strong solutions in Sobolev spaces of semilinear parabolic equations in divergence form involving measure on the right-hand side…
math.PR2010★ 2 cited
On time-dependent functionals of diffusions corresponding to divergence form operators
Tomasz Klimsiak
We consider additive functionals as a time and space-dependent function of a diffusion corresponding to nonhomogeneous uniformly elliptic divergence form operator. We show that if…