Direct solutions of Kolmogorov's equations by stochastic flows (Q1124208)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Direct solutions of Kolmogorov's equations by stochastic flows |
scientific article |
Statements
Direct solutions of Kolmogorov's equations by stochastic flows (English)
0 references
1989
0 references
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.
0 references
Kolmogorov's equations
0 references
stochastic flows
0 references
0 references
