Feynman–Kac theorem in random environments and partial integro-differential equations
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DOI: 10.1016/j.jmaa.2017.01.076
Abstract: 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… read more here.
Keywords: integro differential; random environments; partial integro; feynman kac ... See more keywords