53 citations · 157 across the 23 of their papers we have counts for
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Reflected BSDEs in time-dependent convex regions
Tomasz Klimsiak, Andrzej Rozkosz, Leszek Slominski
We prove existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and càdlàg convex regions $\mathcal{D}=\{D_t;t\in[0…
Semilinear elliptic equations with measure data and quasi-regular Dirichlet forms
Tomasz Klimsiak, Andrzej Rozkosz
We are mainly concerned with equations of the form , where is an operator associated with a quasi-regular possibly nonsymmetric Dirichlet form, satisfies the…
The early exercise premium representation for American options on multiply assets
Tomasz Klimsiak, Andrzej Rozkosz
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes…
Obstacle problem for semilinear parabolic equations with measure data
Tomasz Klimsiak, Andrzej Rozkosz
We consider the obstacle problem with two irregular reflecting barriers for the Cauchy-Dirichlet problem for semilinear parabolic equations with measure data. We prove the existenc…