Feynman-Kac theorem in random environments and partial integro-differential equations
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Publication:2408780
DOI10.1016/J.JMAA.2017.01.076zbMATH Open1383.60099OpenAlexW2585095541MaRDI QIDQ2408780FDOQ2408780
Jacek Jakubowski, Mariusz Niewęgłowski
Publication date: 13 October 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.076
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Diffusion processes (60J60) Integro-partial differential equations (45K05) Processes in random environments (60K37)
Cites Work
- Lévy Processes and Stochastic Calculus
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- Option pricing and hedging under a stochastic volatility Lévy process model
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- Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity
- On Interchanging Limits and Integrals
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- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Equivalence of Stochastic Equations and Martingale Problems
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- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Anomalous PDEs in Markov chains: domains of validity and numerical solutions
- Jump-diffusion processes in random environments
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
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- Exotic Derivatives under Stochastic Volatility Models with Jumps
Cited In (7)
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
- A Feynman-Kac solution to a random impulsive equation of Schrödinger type
- A Feynman-Kac formula for stochastic Dirichlet problems
- On infinitesimal generators and Feynman–Kac integrals of adelic diffusion
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment
- Feynman-Kac theorem about Cauchy problem of extended second-order parabolic equation
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