A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:460

Article

Elliott, Robert J.^1,2  Siu, Tak Kuen³ 

[1] Univ South Australia, Ctr Appl Financial Studies, Adelaide, SA 5001, Australia

[2] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

[3] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

关键词: Cauchy problem;    Regime-switching diffusion process;    Kolmogorov's equations;    Differentiability;    Stochastic flows;   

DOI  :  10.1016/j.jmaa.2017.12.019

来源: Elsevier

【 摘 要 】

Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free