کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5774846 1631562 2017 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Feynman-Kac theorem in random environments and partial integro-differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Feynman-Kac theorem in random environments and partial integro-differential equations
چکیده انگلیسی
We prove a Feynman-Kac-type theorem for jump-diffusion models in random environments. We consider the Cauchy and Dirichlet problems. Our results enable us to calculate some conditional expectations using related partial integro-differential equations (PIDEs) and vice versa to solve some PIDEs by stochastic methods. So, the results may have many applications. We illustrate the use of our results on an example of a generalized exponential Lévy model with regime-switching.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 450, Issue 2, 15 June 2017, Pages 1363-1387
نویسندگان
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