Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations-Reference-Cited by-同舟云学术

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

Published:2013-11-08 Issue:1 Volume:2013 Page:
ISSN:1687-1847
Container-title:Advances in Difference Equations
language:en
Short-container-title:Adv Differ Equ

Author:

Baran Nicholas A,Yin George,Zhu Chao

Abstract

Abstract This work develops Feynman-Kac formulae for switching diffusion processes. It first recalls the basic notion of a switching diffusion. Then the desired stochastic representations are obtained for boundary value problems, initial boundary value problems, and the initial value problems, respectively. Some examples are also provided.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Algebra and Number Theory,Analysis

Link

https://link.springer.com/content/pdf/10.1186/1687-1847-2013-315.pdf

Reference10 articles.

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4. Khasminskii RZ: Stochastic Stability of Differential Equations. 2nd edition. Springer, Berlin; 2012.

5. Mao X: Stochastic Differential Equations and Their Applications. Horwood, Chichester; 1997.

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