Probabilistic interpretation of solutions of linear ultraparabolic equations

DOI10.3390/math6120286zbMath1425.35113OpenAlexW2903283667WikidataQ128860446 ScholiaQ128860446MaRDI QIDQ2337246

Michael D. Marcozzi

Publication date: 19 November 2019

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/math6120286

zbMATH Keywords

mathematical financeprobabilistic representationultraparabolic equationultradiffusion process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)

Cites Work

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• Zur Theorie der stetigen zufälligen Prozesse
• On the Valuation of Asian Options by Variational Methods
• GENERALIZED CAUCHY PROBLEM FOR AN ULTRAPARABOLIC EQUATION

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