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Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

Nicholas A. Baran · George Yin · Chao Zhu

27 citations0/0 files storedAdvances in Difference Equations

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Differential Equations and Boundary Problems

Abstract

Abstract This work develops Feynman-Kac formulae for switching diffusion processes. It first recalls the basic notion of a switching diffusion. Then the desired stochastic representations are obtained for boundary value problems, initial boundary value problems, and the initial value problems, respectively. Some examples are also provided.

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2008Stochastic differential equations and applications 1987Stochastic Differential Equations: An Introduction with Applications.1976Stochastic Differential Equations and Applications 1997Stochastic differential equations and their applications 2009Hybrid Switching Diffusions 2010Hybrid Switching Diffusions: Properties and Applications 2010Stochastic Differential Equations and Applications 2010Properties of solutions of stochastic differential equations with continuous-state-dependent switching

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