Abstract
We study an integro-differential parabolic problem modelling a process with jumps and stochastic volatility in financial mathematics. Under suitable conditions, we prove the existence of solutions in a general domain using the method of upper and lower solutions and a diagonal argument.
| Original language | English |
|---|---|
| Pages (from-to) | 1-10 |
| Number of pages | 10 |
| Journal | Electronic Journal of Differential Equations |
| Volume | 2010 |
| State | Published - 2010 |
Keywords
- Financial mathematics
- Integro-differential parabolic equations
- Jumps processes
- Levy markets
- Stochastic volatility
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