Seminario del 2023

Marzo
28
2023
Silvia Romanelli
Recent results on evolution equations of Black-Scholes and Cox-Ingersoll-Ross type
analisi matematica
We discuss certain mixed Cauchy-Dirichlet problems for degenerate parabolic equations in the unbounded interval R^+, which are generalizations of the Black-Scholes equation and of the Cox-Ilgersson-Ross equation. We present existence and regularity results for the (C0) semigroups associated to them in suitable spaces of continuous functions on (0, ∞) highlighting, in particular, analogies and differences between the corresponding generators.
organizzato da: Davide Guidetti
nell'ambito del Progetto R.F.O. 2020 del prof. Davide Guidetti

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