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Boundary Behavior of Harmonic Functions for Truncated Stable Processes

Author

Listed:
  • Panki Kim

    (Seoul National University)

  • Renming Song

    (University of Illinois)

Abstract

For any α∈(0,2), a truncated symmetric α-stable process in ℝ d is a symmetric Lévy process in ℝ d with no diffusion part and with a Lévy density given by c|x|−d−α 1{|x|

Suggested Citation

  • Panki Kim & Renming Song, 2008. "Boundary Behavior of Harmonic Functions for Truncated Stable Processes," Journal of Theoretical Probability, Springer, vol. 21(2), pages 287-321, June.
    • Handle: RePEc:spr:jotpro:v:21:y:2008:i:2:d:10.1007_s10959-008-0145-y
    DOI: 10.1007/s10959-008-0145-y
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    References listed on IDEAS

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    1. Andrew Matacz, 2000. "Financial Modeling And Option Theory With The Truncated Levy Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 143-160.
    2. S. R. Hurst & Eckhard Platen & S. T. Rachev, 1999. "Option pricing for a logstable asset price model," Published Paper Series 1999-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Cited by:

    1. Marino, L. & Menozzi, S., 2023. "Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 106-170.

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