Representation of functionals of Ito processes and their first exit times
The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of applications, analogs of forward Kolmogorov equations are derived for...
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| Format: | Journal Article |
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Taylor & Francis
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/13137 |