Direct solutions of Kolmogorov's equations by stochastic flows (Q1124208): Difference between revisions
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| English | Direct solutions of Kolmogorov's equations by stochastic flows |
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Direct solutions of Kolmogorov's equations by stochastic flows (English)
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1989
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Solutions of Kolmogorov's forward and backward equations are derived directly by differentiation in the time variable of a family of conditional expectations. The differentiation is justified from the theory of stochastic flows. In this way, the solutions can be given separately, without making use of the equations simultaneously.
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Kolmogorov's equations
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stochastic flows
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