This paper contains a survey of results about linear and nonlinear partial differential equations of Kolmogorov type arising in physics and in mathematical finance. Some recent pointwise estimates proved in collaboration with S. Polidoro are also presented.
Andrea Pascucci (2005). Kolmogorov Equations in Physics and in Finance. VERLAG BASEL : Birkhauser.
Kolmogorov Equations in Physics and in Finance
PASCUCCI, ANDREA
2005
Abstract
This paper contains a survey of results about linear and nonlinear partial differential equations of Kolmogorov type arising in physics and in mathematical finance. Some recent pointwise estimates proved in collaboration with S. Polidoro are also presented.File in questo prodotto:
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