Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions (Q5496621)
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scientific article; zbMATH DE number 6394243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions |
scientific article; zbMATH DE number 6394243 |
Statements
Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions (English)
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2 February 2015
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degenerate elliptic operators
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degenerate parabolic operators
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stochastic representations
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degenerate diffusion process
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degenerate stochastic differential equation
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Feynman-Kac formula
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Heston stochastic volatility process
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mathematical finance
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