- #1
Charlls
- 6
- 0
Hi,
I am quite new to the concept of stochastic equations. I am learning of it from some financial textbooks, however they lack a bit in the approach.
Let me see if i understood Feynman-Kac: for every PDE in N dimensions (with second derivatives equivalent by unitary/orthogonal transformations to definite positive hessian) there is an equivalent system of N coupled Stochastic differential equations in 1 dimension, for which the average of the initial boundary conditions over the N stochastic variables is the solution to the PDE
I am correct so far?
Cheers
I am quite new to the concept of stochastic equations. I am learning of it from some financial textbooks, however they lack a bit in the approach.
Let me see if i understood Feynman-Kac: for every PDE in N dimensions (with second derivatives equivalent by unitary/orthogonal transformations to definite positive hessian) there is an equivalent system of N coupled Stochastic differential equations in 1 dimension, for which the average of the initial boundary conditions over the N stochastic variables is the solution to the PDE
I am correct so far?
Cheers