A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

Robert J. Elliott; Tak Kuen Siu

doi:10.1016/j.jmaa.2017.12.019

A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

Robert J. Elliott^*, Tak Kuen Siu

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations.

Original language	English
Pages (from-to)	891-899
Number of pages	9
Journal	Journal of Mathematical Analysis and Applications
Volume	460
Issue number	2
Early online date	14 Dec 2017
DOIs	https://doi.org/10.1016/j.jmaa.2017.12.019
Publication status	Published - 15 Apr 2018

Keywords

Cauchy problem
Differentiability
Kolmogorov's equations
Regime-switching diffusion process
Stochastic flows

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10.1016/j.jmaa.2017.12.019

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title = "A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows",

abstract = "Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations.",

keywords = "Cauchy problem, Differentiability, Kolmogorov's equations, Regime-switching diffusion process, Stochastic flows",

author = "Elliott, \{Robert J.\} and Siu, \{Tak Kuen\}",

year = "2018",

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T1 - A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

AU - Elliott, Robert J.

AU - Siu, Tak Kuen

PY - 2018/4/15

Y1 - 2018/4/15

N2 - Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations.

AB - Using stochastic flows, probabilistic solutions of Markovian, regime-switching, forward and backward Kolmogorov's equations are discussed. These equations may be related to some pricing equations in mathematical finance. Their solutions are derived by differentiating a family of conditional expectations.

KW - Cauchy problem

KW - Differentiability

KW - Kolmogorov's equations

KW - Regime-switching diffusion process

KW - Stochastic flows

UR - https://www.scopus.com/pages/publications/85038367967

U2 - 10.1016/j.jmaa.2017.12.019

DO - 10.1016/j.jmaa.2017.12.019

M3 - Article

AN - SCOPUS:85038367967

SN - 0022-247X

VL - 460

SP - 891

EP - 899

JO - Journal of Mathematical Analysis and Applications

JF - Journal of Mathematical Analysis and Applications

IS - 2

ER -

A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

Abstract

Keywords

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