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~subject:"Backward stochastic partial differential equations"
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Search: subject:"Feynman-Kac formula"
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Backward stochastic partial differential equations
Feynman-Kac formula
9
Feynman–Kac formula
9
Stochastic process
4
Stochastischer Prozess
4
Analysis
2
Bargaining problem
2
Brownian motion
2
Estimation theory
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Forward–backward stochastic differential equations
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Kalai-Smorodinsky Solution
2
Mathematical analysis
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Monte Carlo method
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Nash solution
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Option pricing theory
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Optionspreistheorie
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Schätztheorie
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Stability
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partial differential equation
2
AMS Subject Classifications
1
Absolute continuity
1
Affine term structure models
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Airy functions
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Asymptotic behavior
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Backward SDEs
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Bargaining theory
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Bessel processes
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Black–Scholes market
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Chaos expansion
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Cointegration
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Comparison theorem
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Control theory
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Delta hedging
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Drift correction
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Duffie-Kan model
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Dynamic programming
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Exponential integrability
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Feynman–Kac formulae
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Du, Kai
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Ma, Jin
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Yin, Hong
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Zhang, Jianfeng
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Zhang, Qi
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Stochastic Processes and their Applications
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Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations
Du, Kai
;
Zhang, Qi
- In:
Stochastic Processes and their Applications
123
(
2013
)
5
,
pp. 1616-1637
extension of the
Feynman–Kac
formula
to the non-Markovian framework. …
Persistent link: https://www.econbiz.de/10010875090
Saved in:
2
On non-Markovian forward–backward SDEs and backward stochastic PDEs
Ma, Jin
;
Yin, Hong
;
Zhang, Jianfeng
- In:
Stochastic Processes and their Applications
122
(
2012
)
12
,
pp. 3980-4004
a degenerate quasilinear BSPDE, extending the existing non-linear
Feynman–Kac
formula
to the random coefficient case …
Persistent link: https://www.econbiz.de/10011065012
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