"Constructing c sub 0 /sub -semigroups via picard iterations and genera" by Marianito R. Rodrigo
Abstract An alternative approach is proposed for constructing a strongly continuous semigroup based on the classical method of successive approximations, or Picard iterations, together with generating functions. An application to a Black–Scholes integro-differential operator which arises in the pricing of European options under jump-diffusion dynamics is provided. The semigroup is expressed as the Mellin convolution of time-inhomogeneous jump and Black–Scholes kernel functions. Other applic...
Adomian Method Black Scholes Theory Enerating Functions Ump Diffusion Process Artial Integro Differential Equation Icard Iterations
Source: uow.edu.au