FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS

DOI10.1112/S0024609306018194zbMath1110.35021OpenAlexW2122197790MaRDI 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

Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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