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Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
| Content Provider | Paperity |
|---|---|
| Author | Zhu, Chao Nicholas, A. Baran Yin, George |
| Abstract | This work develops Feynman-Kac formulae for switching diffusion processes. It first recalls the basic notion of a switching diffusion. Then the desired stochastic representations are obtained for boundary value problems, initial boundary value problems, and the initial value problems, respectively. Some examples are also provided. |
| Starting Page | 315 |
| File Format | HTM / HTML |
| Journal | Advances in Difference Equations |
| Volume Number | 2013 |
| e-ISSN | 16871847 |
| Language | English |
| Publisher | SpringerOpen |
| Publisher Date | 2013-11-08 |
| Access Restriction | Open |
| Subject Keyword | Switching diffusion Dirichlet problem Feynman-kac formula Cauchy problem |
| Content Type | Text |
| Resource Type | Article |