PDE och tillämpningar: Degenerate Equations and Boundary Conditions in Finance

  • Datum: –12.00
  • Plats: Ångströmlaboratoriet 64119
  • Föreläsare: Erik Ekström
  • Arrangör: Matematiska institutionen
  • Kontaktperson: Kaj Nyström
  • Seminarium

Abstract: Pricing rules in Finance are often given as expected 
values of diffusion processes. Using the Feynman-Kac theorem, this 
translates into a formulation in terms of PDEs. However, the 
equations often have degenerate coefficients at the boundary of the state 
space, and additional care is needed to establish the 
Feynman-Kac connection. We study backward and forward equations for a 
couple of problems appearing in Finance, with a special focus on boundary 
conditions.