A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
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DOI: 10.1016/j.jmaa.2017.12.019
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… read more here.
Keywords: stochastic flows; regime switching; forward backward; using stochastic ... See more keywords