15 citations · 36 across the 11 of their papers we have counts for
Showing 2016 · math.PRShow all
2 papers · 2 filters
math.PR2016★ 14 cited
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…
math.PR2016
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…