Article ID Journal Published Year Pages File Type
5774846 Journal of Mathematical Analysis and Applications 2017 25 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Analysis
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