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Showing 1 to 4 of 4 for “"Feynman-kac formula"”.
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On Switching Diffusions: The Feynman-Kac Formula And Near-Optimal Controls
… contexts. First, we consider the so-called Feynman-Kac formula(s) for switching diffusions. These formulas provide stochastic representations for solutions of certain weakly coupled elliptical systems of partial differential equations. The formulas are verified for the boundary value …
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Three assets model for portfolio selection under a constrained consumption rate process
… method and applying the Legendre transform formula and the Feynman-kac formula. We derive some numerical results for the optimal policies and illustrated graphically.
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Dormancy in spatial population models in random environments
… dormancy in random environments. The models are formulated as continuous-time two-type branching random walks, where individuals switch between active and dormant states. We consider two scenarios: one where the switching rates are influenced by the random environment, and another where they are …
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Some application of Malliavin calculus to SPDE and convergence of densities
… studied in this dissertation. In Chapter 3, a Feynman-Kac formula is established for a stochastic heat equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter H<1/2. To establish such a formula, we introduce and study a nonlinear …