Fundamental solutions to Kolmogorov equations via reduction to canonical form
نویسنده
چکیده
This paper finds fundamental solutions to the backward Kolmogorov equations, usually interpretable as transition density functions for variables x that follow certain stochastic processes of the form dx = A(x, t)dt + cxγdX and dx = A(x, t)dt +α1 +α2x+α3xdX . This is achieved by first reducing the relevant PDEs that the density functions satisfy to their canonical form. These stochastic processes have direct realistic applications in the modeling of financial assets.
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ورودعنوان ژورنال:
- JAMDS
دوره 2006 شماره
صفحات -
تاریخ انتشار 2006