Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
Work
Year: 2013
Type: article
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 bou... more
Source: Advances in Difference Equations
Authors Nicholas A. Baran, George Yin, Chao Zhu
Cites: 14
Cited by: 29
Related to: 10
FWCI: 0.292
Citation percentile (by year/subfield): 79.97
Topic: Advanced Banach Space Theory
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: gold
APC paid (est): $1,300