| dc.date.accessioned | 2013-11-21T11:55:55Z | |
| dc.date.available | 2013-11-21T11:55:55Z | |
| dc.date.issued | 2004 | en_US |
| dc.date.submitted | 2005-01-06 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10441 | |
| dc.description.abstract | We consider linear parabolic stochastic integro-PDE's of Feynman-Kac type associated to Lévy-Itô diffusions. The solution of such equations can be represented as certain Feynman-Kac functionals of the associated diffusion such that taking expectation yields the deterministic Feynamn-Kac formula. We interpret the problem in the framework of white noise analysis and consider generalized solutions in the Kondratiev distribution space. This concept allows for relaxed assumptions on the coefficients in the equations, identically to those required in problems of similar deterministic integro-PDE's. | nor |
| dc.language.iso | eng | en_US |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | STOCHASTIC FEYNMAN-KAC EQUATIONS ASSOCIATED TO LÉVY-ITÔ DIFFUSIONS | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-11-15 | en_US |
| dc.rights.holder | Copyright 2004 The Author(s) | |
| dc.creator.author | Meyer-Brandis, Thilo | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-35677 | |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 23677 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10441/1/37-04.pdf | |