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About Feynman-Kac equivalence between PDE and SDE

  1. Feb 22, 2004 #1

    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?

  2. jcsd
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