On backward Kolmogorov equation related to CIR process
نویسندگان
چکیده
منابع مشابه
Nonlocal transformations of Kolmogorov equations into the backward heat equation
We extend and solve the classical Kolmogorov problem of finding general classes of Kolmogorov equations that can be transformed to the backward heat equation. These new classes include Kolmogorov equations with time-independent and time-dependent coefficients. Our main idea is to include nonlocal transformations. We describe a step-by-step algorithm for determining such transformations. We also...
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ژورنال
عنوان ژورنال: Modern Stochastics: Theory and Applications
سال: 2018
ISSN: 2351-6046,2351-6054
DOI: 10.15559/18-vmsta98