On the Fundamental Solution of the Kolmogorov-Shiryaev Equation
نویسندگان
چکیده
(1.4) dYt = μYt dt + σYt dBt (Y0 =1). ∗ Network in Mathematical Physics and Stochastics (funded by the Danish National Research Foundation). ∗ Centre for Analytical Finance (funded by the Danish Social Science Research Council). Mathematics Subject Classification 2000. Primary 60J60, 35K15. Secondary 60J65, 35C15.
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