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Results tagged with feynman-kac
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user 63153
1
vote
0
answers
105
views
Feymann Kac for multidimensional pde
I Have to solve the following PDE:
\begin{equation}
\begin{cases}
\dfrac{\partial F}{\partial t}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial x^2}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial y^2}+\dfrac{\p …
- 163
3
votes
0
answers
82
views
Feymann Kac pde with correlated process
I have to solve the following PDE:
\begin{equation}
\begin{cases}
\dfrac{\partial F}{\partial t}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial x^2}+\dfrac{1}{2}\dfrac{\partial^2 F}{\partial y^2}+\dfrac{1} …
- 163