6 citations · 9 across the 2 of their papers we have counts for
3 papers
math.PR2018★ 3 cited
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker--Planck equations
Leif Döring, Lukas Gonon, David J. Prömel +1
We prove existence and uniqueness of solutions to Fokker--Planck equations associated to Markov operators multiplicatively perturbed by degenerate time-inhomogeneous coefficients.…
q-fin.MF2018
Dirichlet Forms and Finite Element Methods for the SABR Model
Blanka Horvath, Oleg Reichmann
We propose a deterministic numerical method for pricing vanilla options under the SABR stochastic volatility model, based on a finite element discretization of the Kolmogorov prici…
math.PR2017★ 6 cited
On Skorokhod Embeddings and Poisson Equations
Leif Doering, Lukas Gonon, David J. Prömel +1
The classical Skorokhod embedding problem for a Brownian motion asks to find a stopping time so that is distributed according to a prescribed probability distribution…