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...