dc.date.accessioned | 2013-03-12T08:17:03Z | |
dc.date.available | 2013-03-12T08:17:03Z | |
dc.date.issued | 2004 | en_US |
dc.date.submitted | 2009-11-30 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10624 | |
dc.description.abstract | We present a general framework for deriving continuous dependence estimates for, possibly polynomially growing, viscosity solutions of fully nonlinear degenerate parabolic integro-PDEs. We use this framework to provide explicit estimates for the continuous dependence on the coefficients and the ''Lévy measure'' in the Bellman/Isaacs integro-PDEs arising in stochastic control/differential games. Moreover, these explicit estimates are used to prove regularity results and rates of convergence for some singular perturbation problems. Finally, we illustrate our results on some integro-PDEs arising when attempting to price European/American options in an incomplete stock market driven by a geometric Lévy process. Many of the results obtained herein are new even in the convex case where stochastic control theory provides an alternative to our pure PDE methods. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | CONTINUOUS DEPENDENCE ESTIMATES FOR VISCOSITY SOLUTIONS OF INTEGRO-PDES | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2009-11-30 | en_US |
dc.rights.holder | Copyright 2004 The Author(s) | |
dc.creator.author | Jakobsen, Espen R. | en_US |
dc.creator.author | Karlsen, Kenneth H. | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-23677 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 97471 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10624/1/pm29-04.pdf | |