Browsing Dissertations & Theses by Author "Ventura, Wilber Alexander"
Now showing items 1-1 of 1
-
On Solving Finitely Reflected Backward Stochastic Differential Equations
Ventura, Wilber AlexanderClassical theory gives a closed form representation of the density p(t,x), a solution to a linear parabolic PDE, via the Feynman-Kac Formula of the underlying diffusion process. In the non-linear PDE case there is no closed ...