"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 applications to the heat and transport equations are also given. The connection of the proposed approach t...
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