Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Homogenizations of Lévy operators with asymmetric Lévy density -application to the stochastic volatility model with jump processes-

Workshop: Concluding Workshop

Time: Wed, December 03, 2008, 14:00-14:30

Speaker: Mariko Arisawa


We are interested in the stochastic volatility model with jumps. Following the PDE formulation
of the diffusion model by J.P. Fouque, G. Papanicolaou, and K.R. Sircar, we formulate the model
by the integro-differential equation with the Lévy operator, containing a small parameter, the
inverse of the mean-reverting rate.
The ergodicity of the jump process, the asymptotic analysis for the mean-reverting limit
at infinity, are studied by the PDE method.
We would like to show some analytic results concerning these problems.

Presentation slides (pdf, 110 KB)

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