Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes

I. V. Burtnyak, H. P. Malytska

Abstract


The theoretical bases of this paper are the theory of spectral analysis and the theory of singular and regular perturbations. We obtain an approximate price of Ornstein-Uhlenbeck double barrier options with multidimensional stochastic diffusion as expansion in eigenfunctions using infinitesimal generators of an $(l+r+1)$ dimensional diffusion in Hilbert spaces. The theorem of closeness estimates of approximate prices is established. We also obtain explicit formulas for derivatives price approximation based on the expansion in eigenfunctions and eigenvalues of self-adjoint operators using boundary value problems for singular and regular perturbations.

Keywords


spectral theory, singular perturbation theory, regular perturbation theory, Sturm-Liouville theory, infinitesimal generator, multidimensional diffusion

Full Text: Article References
3 :: 10

Refbacks

  • There are currently no refbacks.


Creative Commons License
The journal is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported.