scholarly journals On the fine properties of parabolic measures associated to strongly degenerate parabolic operators of Kolmogorov type

2021 ◽  
Vol 387 ◽  
pp. 107833
Author(s):  
Malte Litsgård ◽  
Kaj Nyström
Keyword(s):  
Kolmogorov Type ◽  
Degenerate Parabolic ◽  
Strongly Degenerate

scholarly journals Analysis of an uncertain volatility model

2006 ◽  
Vol 2006 ◽  
pp. 1-17 ◽  
Author(s):  
Marco Di Francesco ◽  
Paolo Foschi ◽  
Andrea Pascucci
Keyword(s):  
Parabolic Pdes ◽  
Kolmogorov Type ◽  
Volatility Model ◽  
Uncertain Volatility ◽  
Degenerate Parabolic

We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.

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