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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… Click to show full abstract
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.
Keywords:
stochastic flows;
regime switching;
forward backward;
using stochastic;
note regime;
switching kolmogorov
Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2017
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Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2017
Link to full text (if available)
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recommendations!