On Kolmogorov equations for anisotropic multivariate Lévy processes

  title={On Kolmogorov equations for anisotropic multivariate L{\'e}vy processes},
  author={Nils Reich and Christoph Schwab and Christoph Winter},
  journal={Finance and Stochastics},
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 Dirichlet forms are shown to be certain anisotropic Sobolev spaces. Singularity-free representations of the Dirichlet forms are given which remain… CONTINUE READING


Publications citing this paper.