A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

DOI10.1016/J.JMAA.2017.12.019MaRDI QIDQ681793zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 13 February 2018

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12152828980001831

zbMATH Keywords

Cauchy problemdifferentiabilityKolmogorov equationsregime-switching diffusion processstochastic flows

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

(6)

• Direct solutions of Kolmogorov's equations by stochastic flows
• Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions
• Stochastic Flows and Jump-Diffusions
• scientific article; zbMATH DE number 7307039 (Why is no real title available?)
• Hedging options in a doubly Markov-modulated financial market via stochastic flows
• Fundamental solutions to Kolmogorov equations via reduction to canonical form

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