Fundamental solutions to Kolmogorov equations via reduction to canonical form

نویسنده

  • Joanna M. Goard
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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عنوان ژورنال:
  • JAMDS

دوره 2006  شماره 

صفحات  -

تاریخ انتشار 2006