Charlls
Feb22-04, 08:48 AM
Hi,
Im quite new to the concept of stochastic equations. Im learning of it from some financial textbooks, however they lack a bit in the approach.
Let me see if i understood Feynman-Kac: for every PDE in N dimensions (with second derivatives equivalent by unitary/orthogonal transformations to definite positive hessian) there is an equivalent system of N coupled Stochastic differential equations in 1 dimension, for which the average of the initial boundary conditions over the N stochastic variables is the solution to the PDE
im correct so far?
Cheers
Im quite new to the concept of stochastic equations. Im learning of it from some financial textbooks, however they lack a bit in the approach.
Let me see if i understood Feynman-Kac: for every PDE in N dimensions (with second derivatives equivalent by unitary/orthogonal transformations to definite positive hessian) there is an equivalent system of N coupled Stochastic differential equations in 1 dimension, for which the average of the initial boundary conditions over the N stochastic variables is the solution to the PDE
im correct so far?
Cheers