A DISCRETE FEYNMAN-KAC FORMULA

被引：5
|
作者：
CSAKI, E [1 ]
机构：
[1] HUNGARIAN ACAD SCI,INST MATH,H-1361 BUDAPEST 5,HUNGARY
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1993年 / 34卷 / 01期
关键词：
WIENER PROCESS; RANDOM WALK; DIFFERENTIAL EQUATION; DIFFERENCE EQUATION;
D O I：
10.1016/0378-3758(93)90034-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
An analogue of the Feynman-Kac formula is studied for a simple symmetric random walk. By passing to the limit we obtain the Feynman-Kac formula for Brownian motion. Several examples are discussed.
引用
收藏
页码：63 / 73
页数：11
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