Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
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Publication:2211247
DOI10.1016/j.rinam.2019.100087zbMath1452.91312arXiv1912.05985OpenAlexW2997752729MaRDI QIDQ2211247
Publication date: 10 November 2020
Published in: Results in Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.05985
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Integral equations with kernels of Cauchy type (45E05)
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