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10月13日  报告人:Jian Song

发布日期:2015-10-08   浏览次数
地 点:闵行校区统计楼103室
报告人:Jian Song(Assistant Professor, Department of Mathematics, The University of Hong Kong, China)
时 间:2015年10月13日(周二)下午13:30-14:30
题 目:Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions

报告内容简介:

  We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as the Heston model, the CEV model and the SABR model, which are widely used as asset pricing models in mathematical finance. The generator of this Markov process with killing is a second-order, degenerate, elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the $2\alpha$-power of the distance to the boundary of the half-plane, with $\alpha\in(0,1]$. Our stochastic representation formulas provide the unique solutions to the elliptic boundary value and obstacle problems, when we seek solutions which are suitably smooth up to the boundary portion $\Gamma_{0}$ contained in the boundary of the upper half-plane. In the case when the full Dirichlet condition is given, our stochastic representation formulas provide the unique solutions which are not guaranteed to be any more than continuous up to the boundary portion $\Gamma_{0}$.