Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

DOI10.1186/1687-1847-2013-315zbMath1391.60151OpenAlexW2147145295WikidataQ59317907 ScholiaQ59317907MaRDI QIDQ1653173

Chao Zhu, George Yin, Nicholas A. Baran

Publication date: 17 July 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2013-315

zbMATH Keywords

Dirichlet problemCauchy problemFeynman-Kac formulaswitching diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models, PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION, Stability and dynamical bifurcation of a stochastic regime-switching predator-prey model, Iterative weak approximation and hard bounds for switching diffusion, Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion, Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms, Optimal convergence trading with unobservable pricing errors, On the regularity of American options with regime-switching uncertainty, An explicit analytic formula for pricing barrier options with regime switching, Safety of stochastic systems: an analytic and computational approach, Dynamics of a stochastic regime-switching predator-prey model with modified Leslie-Gower Holling-type II schemes and prey harvesting

Cites Work

• Properties of solutions of stochastic differential equations with continuous-state-dependent switching
• Hybrid switching diffusions. Properties and applications
• Stability of regime-switching stochastic differential equations
• Functional Integration and Partial Differential Equations. (AM-109)
• Weakly Coupled Elliptic Systems and Positivity
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item