Direct solutions of Kolmogorov's equations by stochastic flows

DOI10.1016/0022-247X(89)90160-1zbMath0678.60045MaRDI QIDQ1124208

Robert J. Elliott, P. Ekkehard Kopp

Publication date: 1989

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic flowsKolmogorov's equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Stochastic Flows and Jump-Diffusions ⋮ Martingale representation and hedging policies ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS

Cites Work

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• A short proof of a martingale representation result
• On backward stochastic differential equations
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]

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