Regularity results for degenerate Kolmogorov equations of affine type
Nicoletta Gabrielli
TL;DR
This paper establishes regularity results for solutions to degenerate Kolmogorov equations driven by affine-type integro-differential operators, aiding in the analysis of approximation schemes for affine processes.
Contribution
It introduces new regularity results for solutions of affine-type degenerate Kolmogorov equations, enhancing understanding of their properties.
Findings
Regularity results for solutions of affine-type Kolmogorov equations.
Implications for convergence analysis of weak approximation schemes.
Applicable to affine processes in stochastic modeling.
Abstract
In this paper we show how to derive regularity for the solution of Kolmogorov PIDEs driven by a vector field which is a second order integro differential operator of affine type. These results are valuable in applications, in particular for the analysis of the convergence rate of weak approximation schemes for affine processes.
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Taxonomy
TopicsStochastic processes and financial applications · Gas Dynamics and Kinetic Theory · Navier-Stokes equation solutions