Publications

Authors:

Akhtari, B; Biagini, F; Mazzon, A; Oberpriller, K

Title:

Generalized Feynman-Kac formula under volatility uncertainty

Year:

2023

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Format:

A Stampa

Referee:

Sì

Name of journal:

Stochastic Processes and their Applications

ISSN of journal:

0304-4149

N° Volume:

166

Page numbers:

82-110

Keyword:

Feynmac-Kac formula; Sublinear conditional expectation; Nonlinear PDEs

Short description of contents:

In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given by Hu et al. (2014), where the Lipschitz continuity of some functionals is assumed which is not necessarily satisfied in our setting. In particular, we show that the G-conditional expectation of a discounted payoff is a viscosity solution of a nonlinear PDE. In applications, this permits to calculate such a sublinear expectation in a computationally efficient way. (c) 2022 Elsevier B.V. All rights reserved.

Product ID:

137426

Handle IRIS:

11562/1118229

Last Modified:

February 19, 2025

Bibliographic citation:

Akhtari, B; Biagini, F; Mazzon, A; Oberpriller, K, Generalized Feynman-Kac formula under volatility uncertainty «Stochastic Processes and their Applications» , vol. 166 , 2023 , pp. 82-110

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