Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain

DOI10.1016/S1631-073X(03)00364-9zbMath1033.60076MaRDI QIDQ1409733

Cristina Costantini, Emmanuel Gobet, Nicole El Karoui

Publication date: 22 October 2003

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

zbMATH Keywords

shape optimizationFeynman-Kac's representationtime-space domain

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

Cites Work

• Connecting discrete and continuous path-dependent options
• Functional Integration and Partial Differential Equations. (AM-109)
• Differentiation with Respect to the Domain in Boundary Value Problems
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