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arXiv · 1406.3208

Regularity results for degenerate Kolmogorov equations of affine type

Nicoletta Gabrielli
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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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Nicoletta Gabrielli. 2014-06-12. Regularity results for degenerate Kolmogorov equations of affine type. https://arxiv.org/abs/1406.3208

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