Regularity results for degenerate Kolmogorov equations of affine type
Probability
2014-06-13 v1
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.
Keywords
Cite
@article{arxiv.1406.3208,
title = {Regularity results for degenerate Kolmogorov equations of affine type},
author = {Nicoletta Gabrielli},
journal= {arXiv preprint arXiv:1406.3208},
year = {2014}
}