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  • Search: subject:"Laplace transform of occupation time"
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Employee option 1 Feynman-Kac representation 1 Fractional Laplace operator 1 Galerkin method 1 Killing rate 1 Laplace transform of occupation time 1 Nonlocal operator 1 Option pricing 1 Option pricing theory 1 Optionspreistheorie 1 Parabolic evolution equation 1 Partial integro-differential equation 1 Pseudo-differential equation 1 Sobolev-Slobodeckii spaces 1 Stochastic process 1 Stochastischer Prozess 1 Time-inhomogeneous Lévy process 1 Weak solution, variational solution 1
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Glau, Kathrin 1
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Finance and stochastics 1
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A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
Glau, Kathrin - In: Finance and stochastics 20 (2016) 4, pp. 1021-1059
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