Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion

被引：0
|
作者：
Ocejo, Adriana [1 ]
机构：
[1] UNC Charlotte, Dept Math & Stat, 9201 Univ City Blvd, Charlotte, NC 28223 USA
来源：
RESULTS IN APPLIED MATHEMATICS | 2020年 / 5卷
关键词：
Cauchy problem; Feynman-Kac; Regime-switching; Integral equation; Contraction mapping; BEHAVIOR; PRICES;
D O I：
10.1016/j.rinam.2019.100087
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give a sufficient condition to guarantee the uniqueness of solutions to the integral equation and provide an example in the context of option pricing under the Ornstein-Uhlenbeck regime-switching model. Published by Elsevier B.V.
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页数：5
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