A Feynman-Kac type formula for a fixed delay CIR model
نویسندگان
چکیده
منابع مشابه
A Feynman-Kac Formula for Unbounded Semigroups
We prove a Feynman-Kac formula for Schrödinger operators with potentials V (x) that obey (for all ε > 0) V (x) ≥ −ε|x| − Cε. Even though e is an unbounded operator, any φ, ψ ∈ L with compact support lie in D(e) and 〈φ, eψ〉 is given by a Feynman-Kac formula.
متن کاملThe Feynman-Kac formula
where ∆ is the Laplace operator. Here σ > 0 is a constant (the diffusion constant). It has dimensions of distance squared over time, so H0 has dimensions of inverse time. The operator exp(−tH0) for t > 0 is an self-adjoint integral operator, which gives the solution of the heat or diffusion equation. Here t is the time parameter. It is easy to solve for this operator by Fourier transforms. Sinc...
متن کاملFirst Order Feynman-Kac Formula
We study the parabolic integral kernel associated with the weighted Laplacian with a potential. For manifold with a pole we deduce formulas and estimates for the derivatives of the Feynman-Kac kernels and their logarithms, these are in terms of a ‘Gaussian’ term and the semi-classical bridge. Assumptions are on the Riemannian data. AMS Mathematics Subject Classification : 60Gxx, 60Hxx, 58J65, 5...
متن کاملFeynman-Kac formula for stochastic hybrid systems.
We derive a Feynman-Kac formula for functionals of a stochastic hybrid system evolving according to a piecewise deterministic Markov process. We first derive a stochastic Liouville equation for the moment generator of the stochastic functional, given a particular realization of the underlying discrete Markov process; the latter generates transitions between different dynamical equations for the...
متن کاملA Generalized Feynman-Kac Formula For One Dimensional Processes
Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f , the Feynman-Kac formula gives a condition for f(t,X) to be a local martingale. We generalize the Feynman-Kac formula in two main ways. First, it is extended to nondifferentiable functions. Second, the process X is not required to satisfy...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2019
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2019.1592691