Probabilistic interpretation of solutions of linear ultraparabolic equations (Q2337246)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Probabilistic interpretation of solutions of linear ultraparabolic equations |
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Probabilistic interpretation of solutions of linear ultraparabolic equations (English)
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19 November 2019
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Summary: We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains. Furthermore, we provide a probabilistic interpretation of the solution in terms of the expectation of an associated ultradiffusion process.
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ultraparabolic equation
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ultradiffusion process
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probabilistic representation
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mathematical finance
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