Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions

DOI10.1080/07362990701540287zbMath1128.60059OpenAlexW2035152240MaRDI QIDQ5421602

Thilo Meyer-Brandis

Publication date: 24 October 2007

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

Full work available at URL: https://doi.org/10.1080/07362990701540287

zbMATH Keywords

Lévy processeswhite noisestochastic Feynman-Kac formulabackward diffusion equationstochastic integro partial differential equation

Mathematics Subject Classification ID

White noise theory (60H40)

Related Items (3)

On some properties of space inverses of stochastic flows ⋮ On classical solutions of linear stochastic integro-differential equations ⋮ A Bayes formula for nonlinear filtering with Gaussian and Cox noise

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