| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 8900081 | Journal of Mathematical Analysis and Applications | 2018 | 9 Pages |
Abstract
Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Robert J. Elliott, Tak Kuen Siu,