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For d-dimensional exponential Lévy models, variational formulations of the Kolmogorov equations arising in asset pricing are derived. Well-posedness of these equations is verified. Particular attention is paid to pure jump, d-variate Lévy processes built from parametric, copula dependence models in their jump structure. The domains of the associated(More)
For a class of anisotropic integrodifferential operators B arising as semigroup generators of Markov processes, we present a sparse tensor product wavelet compression scheme for the Galerkin finite element discretization of the corresponding integrodifferential equations Bu = f on [0, 1] with possibly large n. Under certain conditions on B, the scheme is of(More)
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