BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
نویسندگان
چکیده
منابع مشابه
The 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...
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ژورنال
عنوان ژورنال: Science China Mathematics
سال: 2015
ISSN: 1674-7283,1869-1862
DOI: 10.1007/s11425-015-5086-1