On fundamental solution of the Cauchy problem for ultra-parabolic equations in the Asian options models
Paper studies ultra-parabolic equations with three groups of spatial variables appearing in Asian options problems. The class of these equations which satisfy some conditions was denoted by E$_{22}^{B}$. This class is a generalization of the well-known class of degenerate parabolic Kolmogorov type equations E$_{22}$. So called $L$-type fundamental solutions have been constructed for the equations from the class E$_{22}^{B}$ previously, and some their properties have been established as well. The main feature of the