Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions

DOI10.1090/S0002-9947-2014-06043-1zbMath1322.60130arXiv1204.1317OpenAlexW3098140969MaRDI QIDQ5496621

Camelia A. Pop, Paul M. N. Feehan

Publication date: 2 February 2015

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1317

zbMATH Keywords

Feynman-Kac formulamathematical financedegenerate elliptic operatorsdegenerate diffusion processHeston stochastic volatility processstochastic representationsdegenerate parabolic operatorsdegenerate stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Partial differential inequalities and systems of partial differential inequalities (35R45) Degenerate parabolic equations (35K65) Degenerate elliptic equations (35J70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

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