FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS

DOI10.1112/S0024609306018194zbMath1110.35021MaRDI QIDQ5289914

Johan Tysk, Svante Janson

Publication date: 19 April 2006

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/s0024609306018194

Mathematics Subject Classification ID

35K20: Initial-boundary value problems for second-order parabolic equations

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

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