scientific article; zbMATH DE number 1383617

MaRDI QIDQ4719310zbMATH OpenFDO

Authors Shunming Zhang, Zaihua Liu

Publication date 15 February 2000

zbMATH Keywords

Brownian motionCauchy problemFeynman-Kac formulastochastic differential equations

Mathematics Subject Classification ID

Heat equation (35K05) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35) Group preferences (91B10)

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(2)

• An extension of the Black-Scholes model of security valuation
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