1. Not finding help here? Sign up for a free 30min tutor trial with Chegg Tutors
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

About Feynman-Kac equivalence between PDE and SDE

  1. Feb 22, 2004 #1
    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
     
  2. jcsd
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you help with the solution or looking for help too?
Draft saved Draft deleted



Similar Discussions: About Feynman-Kac equivalence between PDE and SDE
Loading...