FEYNMAN-KAC THEOREMS FOR GENERALIZED DIFFUSIONS

被引：0

作者：

Ekstrom, Erik ^{[1
]}

Janson, Svante ^{[1
]}

Tysk, Johan ^{[1
]}

机构：

[1] Uppsala Univ, Dept Math, S-75106 Uppsala, Sweden

来源：

TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY | 2015年 / 367卷 / 11期

基金：

瑞典研究理事会;

关键词：

Gap diffusions; Feynman-Kac representation theorem; martingales; OPTION PRICES; TIME;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We find Feynman-Kac type representation theorems for generalized diffusions. To do this we need to establish existence, uniqueness and regularity results for equations with measure-valued coefficients.

引用

页码：8051 / 8070

页数：20

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