Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5774846 | Journal of Mathematical Analysis and Applications | 2017 | 25 Pages |
Abstract
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.
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Physical Sciences and Engineering
Mathematics
Analysis
Authors
Jacek Jakubowski, Mariusz NiewÄgÅowski,