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.

引用

页数：5

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