Pubblicazioni

Autori:

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

Titolo:

Generalized Feynman-Kac formula under volatility uncertainty

Anno:

2023

Tipologia prodotto:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Lingua:

Inglese

Formato:

A Stampa

Referee:

Sì

Nome rivista:

Stochastic Processes and their Applications

ISSN Rivista:

0304-4149

N° Volume:

166

Intervallo pagine:

82-110

Parole chiave:

Feynmac-Kac formula; Sublinear conditional expectation; Nonlinear PDEs

Breve descrizione dei contenuti:

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.

Id prodotto:

137426

Handle IRIS:

11562/1118229

ultima modifica:

19 febbraio 2025

Citazione bibliografica:

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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