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Pascucci, Andrea

Co-Author Distance
Author ID: pascucci.andrea Recent zbMATH articles by "Pascucci, Andrea"
Published as: Pascucci, Andrea; Pascucci, A.
External Links: MGP · ORCID
Documents Indexed: 76 Publications since 1998, including 6 Books and 3 Additional arXiv Preprints
1 Contribution as Editor
Reviewing Activity: 1 Review
Co-Authors: 40 Co-Authors with 66 Joint Publications
736 Co-Co-Authors
all top 5

Co-Authors

11 single-authored
19 Pagliarani, Stefano
16 Polidoro, Sergio
7 Di Francesco, Marco
6 Lorig, Matthew J.
5 Foschi, Paolo
4 Pesce, Antonello
4 Vázquez Cendón, Carlos
3 Borovykh, Anastasia
3 Citti, Giovanna
3 Lanconelli, Alberto
3 Lanconelli, Ermanno
3 Lucertini, Giacomo
3 Oosterlee, Cornelis Willebrordus
2 del Carmen Calvo-Garrido, Maria
2 Diop, Sidy
2 Kamm, Kevin
2 Manfredini, Maria
2 Nyström, Kaj
2 Pignotti, Michele
2 Runggaldier, Wolfgang J.
2 Suárez-Taboada, María
1 Antonelli, Fabio
1 Bonfiglioli, Andrea
1 Capponi, Agostino
1 Carciola, Alessandro
1 Cinti, Chiara
1 Cupini, Giovanni
1 De Marchi, Gian Luca
1 Diop, Sidi
1 Figueroa-López, José E.
1 Frentz, Marie
1 Leung, Tim
1 Menozzi, Stéphane
1 Montanari, Annamaria
1 Monti, Laura
1 Morbidelli, Daniele
1 Riga, Candia
1 Rondelli, Alessio
1 Uguzzoni, Francesco
1 Veretennikov, Alexander Yu.
all top 5

Serials

5 Journal of Mathematical Analysis and Applications
5 Unitext
3 Journal of Differential Equations
3 Transactions of the American Mathematical Society
3 Finance and Stochastics
2 Mathematische Annalen
2 SIAM Journal on Applied Mathematics
2 Stochastic Processes and their Applications
2 Potential Analysis
2 Mathematical Finance
2 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
2 Journal of Evolution Equations
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 SIAM Journal on Financial Mathematics
1 Computers & Mathematics with Applications
1 Journal of Computational and Applied Mathematics
1 Journal of Functional Analysis
1 Le Matematiche
1 Mathematics and Computers in Simulation
1 Proceedings of the American Mathematical Society
1 Ricerche di Matematica
1 Journal of Scientific Computing
1 Differential and Integral Equations
1 The Annals of Applied Probability
1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
1 International Journal of Computer Mathematics
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 SIAM Journal on Mathematical Analysis
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Statistics and Data Analysis
1 Advances in Differential Equations
1 Applied Mathematical Finance
1 Journal of Applied Mathematics and Decision Sciences
1 International Journal of Theoretical and Applied Finance
1 Bollettino della Unione Matematica Italiana. Serie VIII. Sezione A. La Matematica nella Società e nella Cultura
1 Communications in Nonlinear Science and Numerical Simulation
1 Communications in Contemporary Mathematics
1 Decisions in Economics and Finance
1 AMRX. Applied Mathematics Research eXpress
1 Central European Journal of Mathematics
1 Bocconi & Springer Series
1 Boletín de la Sociedad Española de Matemática Aplicada. S\(\vec{\text{e}}\)MA
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Springer INdAM Series
all top 5

Fields

49 Partial differential equations (35-XX)
36 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
29 Probability theory and stochastic processes (60-XX)
9 Numerical analysis (65-XX)
2 Topological groups, Lie groups (22-XX)
2 Approximations and expansions (41-XX)
2 Statistical mechanics, structure of matter (82-XX)
1 General and overarching topics; collections (00-XX)
1 Potential theory (31-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral equations (45-XX)
1 Functional analysis (46-XX)
1 Calculus of variations and optimal control; optimization (49-XX)
1 Statistics (62-XX)
1 Mechanics of deformable solids (74-XX)
1 Systems theory; control (93-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

66 Publications have been cited 890 times in 461 Documents Cited by ▼ Year ▼
PDE and martingale methods in option pricing. Zbl 1214.91002
Pascucci, Andrea
114
2011
On a class of degenerate parabolic equations of Kolmogorov type. Zbl 1085.35086
Di Francesco, Marco; Pascucci, Andrea
56
2005
Linear and nonlinear ultraparabolic equations of Kolmogorov type arising in diffusion theory and in finance. Zbl 1032.35114
Lanconelli, Ermanno; Pascucci, Andrea; Polidoro, Sergio
46
2002
The Moser’s iterative method for a class of ultraparabolic equations. Zbl 1096.35080
Pascucci, Andrea; Polidoro, Sergio
37
2004
Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
33
2017
Pointwise estimates for a class of non-homogeneous Kolmogorov equations. Zbl 1162.35015
Cinti, Chiara; Pascucci, Andrea; Polidoro, Sergio
27
2008
On the complete model with stochastic volatility by Hobson and Rogers. Zbl 1092.91024
Di Francesco, Marco; Pascucci, Andrea
26
2004
Analytical expansions for parabolic equations. Zbl 1332.35140
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
25
2015
Approximations for Asian options in local volatility models. Zbl 1260.91100
Foschi, Paolo; Pagliarani, Stefano; Pascucci, Andrea
25
2013
Free boundary and optimal stopping problems for American Asian options. Zbl 1150.91022
Pascucci, Andrea
25
2008
The obstacle problem for a class of hypoelliptic ultraparabolic equations. Zbl 1137.35017
di Francesco, Marco; Pascucci, Andrea; Polidoro, Sergio
25
2008
Analytical approximation of the transition density in a local volatility model. Zbl 1246.91137
Pagliarani, Stefano; Pascucci, Andrea
22
2012
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
19
2013
On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance. Zbl 1013.35046
Citti, Giovanna; Pascucci, Andrea; Polidoro, Sergio
17
2001
Hölder regularity for a Kolmogorov equation. Zbl 1116.35330
Pascucci, Andrea
17
2003
Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options. Zbl 1200.35307
Frentz, Marie; Nyström, Kaj; Pascucci, Andrea; Polidoro, Sergio
16
2010
A family of density expansions for Lévy-type processes. Zbl 1329.60122
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
16
2015
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups. Zbl 1330.22017
Pagliarani, Stefano; Pascucci, Andrea; Pignotti, Michele
15
2016
Regularity properties of viscosity solutions of a non-Hörmander degenerate equation. Zbl 1026.35024
Citti, Giovanna; Pascucci, Andrea; Polidoro, Sergio
14
2001
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
14
2017
Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators. Zbl 1172.35339
Pascucci, Andrea; Polidoro, Sergio
13
2006
A continuous dependence result for ultraparabolic equations in option pricing. Zbl 1152.35063
Di Francesco, Marco; Pascucci, Andrea
13
2007
A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations. Zbl 1026.35056
Pascucci, Andrea; Polidoro, Sergio
12
2003
Semilinear equations on nilpotent Lie groups: global existence and blow-up of solutions. Zbl 1156.35401
Pascucci, Andrea
12
1998
Expansions asymptotiques pour équations paraboliques dégénérées. (Asymptotic expansions for degenerate parabolic equations.) Zbl 1304.35207
Pagliarani, Stefano; Pascucci, Andrea
12
2014
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
11
2018
Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators. Zbl 1205.35345
Nyström, Kaj; Pascucci, Andrea; Polidoro, Sergio
11
2010
Dynamic credit investment in partially observed markets. Zbl 1323.93073
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea
11
2015
On stochastic Langevin and Fokker-Planck equations: the two-dimensional case. Zbl 1480.35415
Pascucci, Andrea; Pesce, Antonello
11
2022
Kolmogorov equations in physics and in finance. Zbl 1085.35089
Pascucci, Andrea
10
2005
On the Harnack inequality for a class of hypoelliptic evolution equations. Zbl 1049.35119
Pascucci, Andrea; Polidoro, Sergio
10
2004
Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients. Zbl 1462.35116
Lanconelli, Alberto; Pascucci, Andrea; Polidoro, Sergio
10
2020
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement. Zbl 1285.91147
Calvo-Garrido, M. Carmen; Pascucci, Andrea; Vázquez, Carlos
10
2013
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
10
2008
On the viscosity solutions of a stochastic differential utility problem. Zbl 1508.60062
Antonelli, Fabio; Pascucci, Andrea
10
2002
On the fundamental solution for hypoelliptic second order partial differential equations with non-negative characteristic form. Zbl 0965.35005
Lanconelli, Ermanno; Pascucci, Andrea
9
1999
Local stochastic volatility with jumps: analytical approximations. Zbl 1293.91142
Pagliarani, Stefano; Pascucci, Andrea
9
2013
The parametrix method for parabolic SPDEs. Zbl 1455.60085
Pascucci, Andrea; Pesce, Antonello
9
2020
Obstacle problem for arithmetic Asian options. Zbl 1178.91201
Monti, Laura; Pascucci, Andrea
8
2009
Superparabolic functions related to second order hypoelliptic operators. Zbl 0940.35054
Lanconelli, Ermanno; Pascucci, Andrea
7
1999
Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572
Leung, Tim; Lorig, Matthew; Pascucci, Andrea
7
2017
Nash estimates and upper bounds for non-homogeneous Kolmogorov equations. Zbl 1383.35105
Lanconelli, Alberto; Pascucci, Andrea
7
2017
Analysis of an uncertain volatility model. Zbl 1153.91485
Di Francesco, Marco; Foschi, Paolo; Pascucci, Andrea
6
2006
On the Cauchy problem for a nonlinear Kolmogorov equation. Zbl 1047.35076
Pascucci, Andrea; Polidoro, Sergio
6
2003
Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model. Zbl 1222.91061
Pascucci, A.; Suárez-Taboada, M.; Vázquez, C.
6
2011
Intrinsic expansions for averaged diffusion processes. Zbl 1373.60137
Pagliarani, S.; Pascucci, A.; Pignotti, M.
6
2017
Harnack inequality and no-arbitrage bounds for self-financing portfolios. Zbl 1242.91178
Carciola, Alessandro; Pascucci, Andrea; Polidoro, Sergio
6
2009
Local densities for a class of degenerate diffusions. Zbl 1434.60214
Lanconelli, Alberto; Pagliarani, Stefano; Pascucci, Andrea
5
2020
Pricing Bermudan options under local Lévy models with default. Zbl 1377.91155
Borovykh, A.; Pascucci, A.; Oosterlee, C. W.
5
2017
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem. Zbl 1281.91177
Pascucci, A.; Suárez-Taboada, M.; Vázquez, C.
5
2013
On the stochastic Magnus expansion and its application to SPDEs. Zbl 1489.60112
Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
4
2021
Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. Zbl 1247.91001
Pascucci, Andrea; Runggaldier, Wolfgang J.
4
2012
A priori estimates for quasilinear degenerate parabolic equations. Zbl 1195.35173
Manfredini, Maria; Pascucci, Andrea
3
2003
Kolmogorov equations arising in finance: direct and inverse problems. Zbl 1140.35499
Foschi, Paolo; Pascucci, Andrea
3
2007
Calibration of a path-dependent volatility model: empirical tests. Zbl 1453.62091
Foschi, Paolo; Pascucci, Andrea
2
2009
Fujita type results for a class of degenerate parabolic operators. Zbl 0978.35024
Pascucci, Andrea
2
1999
Stochastic calculus for finance. (Calcolo stocastico per la finanza.) Zbl 1145.91026
Pascucci, Andrea
2
2008
Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients. Zbl 1528.35075
Pagliarani, Stefano; Lucertini, Giacomo; Pascucci, Andrea
2
2023
CDS calibration under an extended JDCEV model. Zbl 1499.91170
Di Francesco, Marco; Diop, Sidy; Pascucci, Andrea
2
2019
Asymptotics for \(d\)-dimensional Lévy-type processes. Zbl 1418.91525
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
2
2015
Pricing approximations and error estimates for local Lévy-type models with default. Zbl 1443.91298
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
2
2015
Sobolev embeddings for kinetic Fokker-Planck equations. Zbl 1533.35337
Pascucci, Andrea; Pesce, Antonello
2
2024
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Zbl 1479.91392
Carmen Calvo-Garrido, M.; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos
1
2021
Financial mathematics. Theory and problems for multi-periodic models. (Finanza matematica. Teoria e problemi per modelli multiperiodali.) Zbl 1194.91004
Pascucci, Andrea; Runggaldier, Wolfgang J.
1
2009
Backward and forward filtering under the weak Hörmander condition. Zbl 1517.60044
Pascucci, Andrea; Pesce, Antonello
1
2023
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. Zbl 1540.65019
Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
1
2023
Sobolev embeddings for kinetic Fokker-Planck equations. Zbl 1533.35337
Pascucci, Andrea; Pesce, Antonello
2
2024
Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients. Zbl 1528.35075
Pagliarani, Stefano; Lucertini, Giacomo; Pascucci, Andrea
2
2023
Backward and forward filtering under the weak Hörmander condition. Zbl 1517.60044
Pascucci, Andrea; Pesce, Antonello
1
2023
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. Zbl 1540.65019
Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
1
2023
On stochastic Langevin and Fokker-Planck equations: the two-dimensional case. Zbl 1480.35415
Pascucci, Andrea; Pesce, Antonello
11
2022
On the stochastic Magnus expansion and its application to SPDEs. Zbl 1489.60112
Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea
4
2021
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Zbl 1479.91392
Carmen Calvo-Garrido, M.; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos
1
2021
Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients. Zbl 1462.35116
Lanconelli, Alberto; Pascucci, Andrea; Polidoro, Sergio
10
2020
The parametrix method for parabolic SPDEs. Zbl 1455.60085
Pascucci, Andrea; Pesce, Antonello
9
2020
Local densities for a class of degenerate diffusions. Zbl 1434.60214
Lanconelli, Alberto; Pagliarani, Stefano; Pascucci, Andrea
5
2020
CDS calibration under an extended JDCEV model. Zbl 1499.91170
Di Francesco, Marco; Diop, Sidy; Pascucci, Andrea
2
2019
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
11
2018
Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
33
2017
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
14
2017
Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572
Leung, Tim; Lorig, Matthew; Pascucci, Andrea
7
2017
Nash estimates and upper bounds for non-homogeneous Kolmogorov equations. Zbl 1383.35105
Lanconelli, Alberto; Pascucci, Andrea
7
2017
Intrinsic expansions for averaged diffusion processes. Zbl 1373.60137
Pagliarani, S.; Pascucci, A.; Pignotti, M.
6
2017
Pricing Bermudan options under local Lévy models with default. Zbl 1377.91155
Borovykh, A.; Pascucci, A.; Oosterlee, C. W.
5
2017
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups. Zbl 1330.22017
Pagliarani, Stefano; Pascucci, Andrea; Pignotti, Michele
15
2016
Analytical expansions for parabolic equations. Zbl 1332.35140
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
25
2015
A family of density expansions for Lévy-type processes. Zbl 1329.60122
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
16
2015
Dynamic credit investment in partially observed markets. Zbl 1323.93073
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea
11
2015
Asymptotics for \(d\)-dimensional Lévy-type processes. Zbl 1418.91525
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
2
2015
Pricing approximations and error estimates for local Lévy-type models with default. Zbl 1443.91298
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
2
2015
Expansions asymptotiques pour équations paraboliques dégénérées. (Asymptotic expansions for degenerate parabolic equations.) Zbl 1304.35207
Pagliarani, Stefano; Pascucci, Andrea
12
2014
Approximations for Asian options in local volatility models. Zbl 1260.91100
Foschi, Paolo; Pagliarani, Stefano; Pascucci, Andrea
25
2013
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
19
2013
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement. Zbl 1285.91147
Calvo-Garrido, M. Carmen; Pascucci, Andrea; Vázquez, Carlos
10
2013
Local stochastic volatility with jumps: analytical approximations. Zbl 1293.91142
Pagliarani, Stefano; Pascucci, Andrea
9
2013
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem. Zbl 1281.91177
Pascucci, A.; Suárez-Taboada, M.; Vázquez, C.
5
2013
Analytical approximation of the transition density in a local volatility model. Zbl 1246.91137
Pagliarani, Stefano; Pascucci, Andrea
22
2012
Financial mathematics. Theory and problems for multi-period models. Translated and extended version of the original Italian edition. Zbl 1247.91001
Pascucci, Andrea; Runggaldier, Wolfgang J.
4
2012
PDE and martingale methods in option pricing. Zbl 1214.91002
Pascucci, Andrea
114
2011
Mathematical analysis and numerical methods for a partial differential equations model governing a ratchet cap pricing in the LIBOR market model. Zbl 1222.91061
Pascucci, A.; Suárez-Taboada, M.; Vázquez, C.
6
2011
Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options. Zbl 1200.35307
Frentz, Marie; Nyström, Kaj; Pascucci, Andrea; Polidoro, Sergio
16
2010
Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators. Zbl 1205.35345
Nyström, Kaj; Pascucci, Andrea; Polidoro, Sergio
11
2010
Obstacle problem for arithmetic Asian options. Zbl 1178.91201
Monti, Laura; Pascucci, Andrea
8
2009
Harnack inequality and no-arbitrage bounds for self-financing portfolios. Zbl 1242.91178
Carciola, Alessandro; Pascucci, Andrea; Polidoro, Sergio
6
2009
Calibration of a path-dependent volatility model: empirical tests. Zbl 1453.62091
Foschi, Paolo; Pascucci, Andrea
2
2009
Financial mathematics. Theory and problems for multi-periodic models. (Finanza matematica. Teoria e problemi per modelli multiperiodali.) Zbl 1194.91004
Pascucci, Andrea; Runggaldier, Wolfgang J.
1
2009
Pointwise estimates for a class of non-homogeneous Kolmogorov equations. Zbl 1162.35015
Cinti, Chiara; Pascucci, Andrea; Polidoro, Sergio
27
2008
Free boundary and optimal stopping problems for American Asian options. Zbl 1150.91022
Pascucci, Andrea
25
2008
The obstacle problem for a class of hypoelliptic ultraparabolic equations. Zbl 1137.35017
di Francesco, Marco; Pascucci, Andrea; Polidoro, Sergio
25
2008
Path dependent volatility. Zbl 1160.35457
Foschi, Paolo; Pascucci, Andrea
10
2008
Stochastic calculus for finance. (Calcolo stocastico per la finanza.) Zbl 1145.91026
Pascucci, Andrea
2
2008
A continuous dependence result for ultraparabolic equations in option pricing. Zbl 1152.35063
Di Francesco, Marco; Pascucci, Andrea
13
2007
Kolmogorov equations arising in finance: direct and inverse problems. Zbl 1140.35499
Foschi, Paolo; Pascucci, Andrea
3
2007
Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators. Zbl 1172.35339
Pascucci, Andrea; Polidoro, Sergio
13
2006
Analysis of an uncertain volatility model. Zbl 1153.91485
Di Francesco, Marco; Foschi, Paolo; Pascucci, Andrea
6
2006
On a class of degenerate parabolic equations of Kolmogorov type. Zbl 1085.35086
Di Francesco, Marco; Pascucci, Andrea
56
2005
Kolmogorov equations in physics and in finance. Zbl 1085.35089
Pascucci, Andrea
10
2005
The Moser’s iterative method for a class of ultraparabolic equations. Zbl 1096.35080
Pascucci, Andrea; Polidoro, Sergio
37
2004
On the complete model with stochastic volatility by Hobson and Rogers. Zbl 1092.91024
Di Francesco, Marco; Pascucci, Andrea
26
2004
On the Harnack inequality for a class of hypoelliptic evolution equations. Zbl 1049.35119
Pascucci, Andrea; Polidoro, Sergio
10
2004
Hölder regularity for a Kolmogorov equation. Zbl 1116.35330
Pascucci, Andrea
17
2003
A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations. Zbl 1026.35056
Pascucci, Andrea; Polidoro, Sergio
12
2003
On the Cauchy problem for a nonlinear Kolmogorov equation. Zbl 1047.35076
Pascucci, Andrea; Polidoro, Sergio
6
2003
A priori estimates for quasilinear degenerate parabolic equations. Zbl 1195.35173
Manfredini, Maria; Pascucci, Andrea
3
2003
Linear and nonlinear ultraparabolic equations of Kolmogorov type arising in diffusion theory and in finance. Zbl 1032.35114
Lanconelli, Ermanno; Pascucci, Andrea; Polidoro, Sergio
46
2002
On the viscosity solutions of a stochastic differential utility problem. Zbl 1508.60062
Antonelli, Fabio; Pascucci, Andrea
10
2002
On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance. Zbl 1013.35046
Citti, Giovanna; Pascucci, Andrea; Polidoro, Sergio
17
2001
Regularity properties of viscosity solutions of a non-Hörmander degenerate equation. Zbl 1026.35024
Citti, Giovanna; Pascucci, Andrea; Polidoro, Sergio
14
2001
On the fundamental solution for hypoelliptic second order partial differential equations with non-negative characteristic form. Zbl 0965.35005
Lanconelli, Ermanno; Pascucci, Andrea
9
1999
Superparabolic functions related to second order hypoelliptic operators. Zbl 0940.35054
Lanconelli, Ermanno; Pascucci, Andrea
7
1999
Fujita type results for a class of degenerate parabolic operators. Zbl 0978.35024
Pascucci, Andrea
2
1999
Semilinear equations on nilpotent Lie groups: global existence and blow-up of solutions. Zbl 1156.35401
Pascucci, Andrea
12
1998
all cited Publications top 5 cited Publications
all top 5

Cited by 583 Authors

49 Pascucci, Andrea
28 Polidoro, Sergio
22 Pagliarani, Stefano
21 Vázquez Cendón, Carlos
17 Lorig, Matthew J.
15 Nyström, Kaj
11 Manfredini, Maria
10 Citti, Giovanna
10 Lanconelli, Ermanno
10 Tralli, Giulio
10 Uguzzoni, Francesco
9 Anceschi, Francesca
9 Pirjol, Dan
8 Bonfiglioli, Andrea
8 Cinti, Chiara
8 del Carmen Calvo-Garrido, Maria
8 Rebucci, Annalaura
8 Zhu, Lingjiong
7 Bramanti, Marco
7 Di Francesco, Marco
7 Niu, Pengcheng
7 Pesce, Antonello
6 Biagi, Stefano
6 Company, Rafael
6 Gobet, Emmanuel
6 Jódar Sanchez, Lucas Antonio
6 Oosterlee, Cornelis Willebrordus
5 Arregui, Iñigo A.
5 Bo, Lijun
5 Borzì, Alfio
5 Capponi, Agostino
5 Garofalo, Nicola
5 Kirane, Mokhtar
5 Menozzi, Stéphane
4 Annunziato, Mario
4 Fakharany, M.
4 Kogoj, Alessia Elisabetta
4 Leung, Tim
4 Li, Danping
4 Pignotti, Michele
4 Priola, Enrico
4 Suárez-Taboada, María
4 Takahashi, Akihiko
4 Yoshioka, Hidekazu
4 Zhang, Liqun
3 Agarwal, Ankush
3 Antonelli, Fabio
3 Cupini, Giovanni
3 Figueroa-López, José E.
3 Foschi, Paolo
3 Frank, Till Daniel
3 Frentz, Marie
3 Gaviraghi, Beatrice
3 Hwang, Hyung Ju
3 Imbert, Cyril
3 Ivasyshen, Stepan Dmytrovych
3 Jacquier, Antoine
3 Jleli, Mohamed Boussairi
3 Kamm, Kevin
3 Kohatsu-Higa, Arturo
3 Lanconelli, Alberto
3 Papi, Marco
3 Salvador, Beatriz
3 Samet, Bessem
3 Silvestre, Luis E.
3 Simonella, Roberta
3 Sircar, Ronnie
3 Snelson, Stanley
3 Vargiolu, Tiziano
3 Velázquez, Juan J. L.
3 Zhang, Xicheng
2 Aimi, Alessandra
2 Albeverio, Sergio A.
2 Bally, Vlad
2 Battaglia, Erika
2 Bedrossian, Jacob
2 Borovykh, Anastasia
2 Bossy, Mireille
2 Brandolini, Luca
2 Burrage, Kevin
2 Capogna, Luca
2 Casabán, María Consuelo
2 Cassagnes, Aurelien
2 Chen, Hongge
2 Chen, Hua
2 Chen, Lv
2 Chen, Yu
2 Cordoni, Francesco Giuseppe
2 Dai, Min
2 Di Persio, Luca
2 Diop, Sidy
2 Dong, Hongjie
2 Ehrhardt, Matthias
2 Eleuteri, Michela
2 Feng, Xiaojing
2 Ferrari, Simone
2 Fontana, Claudio
2 Friz, Peter
2 Guardasoni, Chiara
2 Guerand, Jessica
...and 483 more Authors
all top 5

Cited in 176 Serials

18 Journal of Mathematical Analysis and Applications
14 International Journal of Theoretical and Applied Finance
13 SIAM Journal on Financial Mathematics
12 Journal of Differential Equations
12 Quantitative Finance
10 Stochastic Processes and their Applications
10 Potential Analysis
9 Applied Mathematics and Computation
9 Journal de Mathématiques Pures et Appliquées. Neuvième Série
8 Finance and Stochastics
8 Mathematical Finance
7 Computers & Mathematics with Applications
7 Mathematical Methods in the Applied Sciences
7 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
7 Applied Mathematical Finance
7 Journal of Evolution Equations
6 Transactions of the American Mathematical Society
5 Annali di Matematica Pura ed Applicata. Serie Quarta
5 Journal of Computational and Applied Mathematics
5 Journal of Functional Analysis
5 The Annals of Applied Probability
5 Communications in Nonlinear Science and Numerical Simulation
5 Decisions in Economics and Finance
4 Archive for Rational Mechanics and Analysis
4 Journal of Mathematical Physics
4 Physics Letters. A
4 Mathematics of Operations Research
4 European Journal of Operational Research
4 International Journal of Computer Mathematics
4 SIAM Journal on Mathematical Analysis
4 Calculus of Variations and Partial Differential Equations
4 Abstract and Applied Analysis
4 Communications in Contemporary Mathematics
4 Boundary Value Problems
4 Journal of Industrial and Management Optimization
3 Chaos, Solitons and Fractals
3 Journal of Optimization Theory and Applications
3 Mathematische Annalen
3 Proceedings of the American Mathematical Society
3 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
3 Applied Numerical Mathematics
3 Journal of Economic Dynamics & Control
3 Journal of Mathematical Sciences (New York)
3 Soft Computing
3 Methodology and Computing in Applied Probability
3 Scandinavian Actuarial Journal
3 Nonlinear Analysis. Real World Applications
3 Stochastics
3 Analysis & PDE
3 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
3 Mathematics in Engineering
2 Physica A
2 Ukrainian Mathematical Journal
2 Journal of Geometry and Physics
2 Applied Mathematics and Optimization
2 BIT
2 Mathematics and Computers in Simulation
2 Memoirs of the American Mathematical Society
2 SIAM Journal on Control and Optimization
2 Statistics & Probability Letters
2 Optimization
2 Probability Theory and Related Fields
2 Applied Mathematics Letters
2 Journal of Scientific Computing
2 Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Serie IX. Rendiconti Lincei. Matematica e Applicazioni
2 The Journal of Geometric Analysis
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Fractional Calculus & Applied Analysis
2 Discrete Dynamics in Nature and Society
2 Probability in the Engineering and Informational Sciences
2 Mathematical Modelling and Analysis
2 Journal of Applied Mathematics
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Annali della Scuola Normale Superiore di Pisa. Classe di Scienze. Serie V
2 Review of Derivatives Research
2 Discrete and Continuous Dynamical Systems. Series S
2 S\(\vec{\text{e}}\)MA Journal
2 EMS Surveys in Mathematical Sciences
2 Journal of Function Spaces
1 Advances in Applied Probability
1 Mathematical Notes
1 Reports on Mathematical Physics
1 Studia Mathematica
1 Annales de l’Institut Fourier
1 Inventiones Mathematicae
1 Journal of Econometrics
1 Journal für die Reine und Angewandte Mathematik
1 Mathematische Nachrichten
1 Mathematische Zeitschrift
1 Monatshefte für Mathematik
1 Operations Research
1 Proceedings of the London Mathematical Society. Third Series
1 Quarterly of Applied Mathematics
1 Real Analysis Exchange
1 Revista de la Unión Matemática Argentina
1 Ricerche di Matematica
1 SIAM Journal on Numerical Analysis
1 Siberian Mathematical Journal
1 Insurance Mathematics & Economics
1 Chinese Annals of Mathematics. Series B
...and 76 more Serials
all top 5

Cited in 40 Fields

240 Partial differential equations (35-XX)
214 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
146 Probability theory and stochastic processes (60-XX)
68 Numerical analysis (65-XX)
23 Operator theory (47-XX)
23 Systems theory; control (93-XX)
16 Calculus of variations and optimal control; optimization (49-XX)
15 Statistics (62-XX)
14 Statistical mechanics, structure of matter (82-XX)
13 Approximations and expansions (41-XX)
12 Abstract harmonic analysis (43-XX)
12 Operations research, mathematical programming (90-XX)
9 Ordinary differential equations (34-XX)
8 Integral equations (45-XX)
8 Differential geometry (53-XX)
7 Potential theory (31-XX)
7 Harmonic analysis on Euclidean spaces (42-XX)
6 Topological groups, Lie groups (22-XX)
6 Functional analysis (46-XX)
6 Fluid mechanics (76-XX)
6 Biology and other natural sciences (92-XX)
5 Real functions (26-XX)
5 Global analysis, analysis on manifolds (58-XX)
3 Measure and integration (28-XX)
3 Dynamical systems and ergodic theory (37-XX)
2 Number theory (11-XX)
2 Computer science (68-XX)
2 Information and communication theory, circuits (94-XX)
1 General and overarching topics; collections (00-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Nonassociative rings and algebras (17-XX)
1 Several complex variables and analytic spaces (32-XX)
1 General topology (54-XX)
1 Mechanics of deformable solids (74-XX)
1 Optics, electromagnetic theory (78-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Quantum theory (81-XX)
1 Relativity and gravitational theory (83-XX)
1 Astronomy and astrophysics (85-XX)
1 Geophysics (86-XX)

Citations by Year