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The path integral representation kernel of evolution operator in Merton-Garman model
path integration evolution operator kernel option pricing Black-Scholes formula
2011/7/26
Abstract: In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-...
The Random Integral Representation Conjecture: a quarter of a century later
Class L distributions or selfdecomposable distributions infinite divisibility Lévy-Khintchine formula
2010/12/6
In Jurek 1985 and 1988 the random integral representations conjecture was stated. It claims that (some) limit laws can be written as probability distributions of random integrals of
the form R (a,b] ...
Simple integral representation for bounded operators in topological vector spaces
Bounded Operators Weak integrals Riesz Theorem
2010/9/13
We prove that bounded operators of this class preserve the familiar operations of distribution theory, that is, the operations of derivation and Fourier transform. Also we give an application to weak ...
An Improper Integral Representation of Linnik's Probability Densities
Improper Integral Representation Probability Densities
2010/3/4
A representation of Linnik's Probability Densities by a contour integral distinct than the one given in [2] is obtained. An Improper integral representation of the same density functions is derived. A...