Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

DOI10.1186/1687-1847-2013-315MaRDI QIDQ1653173zbMATH OpenOpenAlexWikidataFDO

Authors Nicholas A. Baran, George Yin, Chao Zhu

Publication date 17 July 2018

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 2.0 Generic

Full work available at URL https://doi.org/10.1186/1687-1847-2013-315

zbMATH Keywords

Cauchy problemDirichlet problemFeynman-Kac formulaswitching diffusion

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Recommendations

• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
• scientific article; zbMATH DE number 25411
• A Feynman-Kac formula for stochastic Dirichlet problems
• Feynman-Kac representation of fully nonlinear PDEs and applications

Cites work

• Functional Integration and Partial Differential Equations. (AM-109)
• scientific article; zbMATH DE number 5164440 (Why is no real title available?)
• scientific article; zbMATH DE number 4107242 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• Hybrid switching diffusions. Properties and applications
• Properties of solutions of stochastic differential equations with continuous-state-dependent switching
• Stability of regime-switching stochastic differential equations
• Stochastic differential equations. An introduction with applications.
• Weakly Coupled Elliptic Systems and Positivity

Cited in

(18)

• Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
• An explicit analytic formula for pricing barrier options with regime switching
• Safety of stochastic systems: an analytic and computational approach
• Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
• Optimal convergence trading with unobservable pricing errors
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• Switched diffusion processes and systems of elliptic equations: a Dirichlet space approach
• Pairs trading under drift uncertainty and risk penalization
• On matching diffusions, Laplace transforms and partial differential equations
• A unifying approach to first-passage time distributions in diffusing diffusivity and switching diffusion models
• Stability and dynamical bifurcation of a stochastic regime-switching predator-prey model
• Iterative weak approximation and hard bounds for switching diffusion
• Estimation of regime-switching diffusions via Fourier transforms
• On the regularity of American options with regime-switching uncertainty
• Analytical computation of conditional moments in the extended Cox-Ingersoll-Ross process with regime switching: hybrid PDE system solutions with financial applications
• Numerical approximations and convergence analysis of piecewise diffusion Markov processes, with application to glioma cell migration
• Indifference Pricing of Pure Endowments in a Regime-Switching Market Model
• Dynamics of a stochastic regime-switching predator-prey model with modified Leslie-Gower Holling-type II schemes and prey harvesting

This page was built for publication: Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1653173)