Feynman-Kac theorem in random environments and partial integro-differential equations

DOI10.1016/J.JMAA.2017.01.076MaRDI QIDQ2408780zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

exponential Lévy modelFeynman-Kac theoremPIDErandom environmentregime switching

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Diffusion processes (60J60) Processes in random environments (60K37)

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Cites work

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• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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• Exotic derivatives under stochastic volatility models with jumps
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
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• Jump-diffusion processes in random environments
• Jump-diffusions with state-dependent switching: existence and uniqueness, Feller property, linearization, and uniform ergodicity
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• Option pricing and hedging under a stochastic volatility Lévy process model

Cited in

(8)

• A Feynman-Kac formula for stochastic Dirichlet problems
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
• Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
• 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
• A Feynman-Kac solution to a random impulsive equation of Schrödinger type
• On infinitesimal generators and Feynman–Kac integrals of adelic diffusion

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