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- Feynman–Kac_formula abstract "The Feynman–Kac formula named after Richard Feynman and Mark Kac, establishes a link between parabolic partial differential equations (PDEs) and stochastic processes. It offers a method of solving certain PDEs by simulating random paths of a stochastic process. Conversely, an important class of expectations of random processes can be computed by deterministic methods. Consider the PDE,defined for all x in R and t in [0, T], subject to the terminal conditionwhere μ, σ, ψ, V are known functions, T is a parameter and is the unknown. Then the Feynman–Kac formula tells us that the solution can be written as a conditional expectationunder the probability measure Q such that X is an Itō process driven by the equationwith WQ(t) is a Wiener process (also called Brownian motion) under Q, and the initial condition for X(t) is X(0) = x.".
- Feynman–Kac_formula wikiPageID "630017".
- Feynman–Kac_formula wikiPageRevisionID "602152312".
- Feynman–Kac_formula subject Category:Articles_containing_proofs.
- Feynman–Kac_formula subject Category:Parabolic_partial_differential_equations.
- Feynman–Kac_formula subject Category:Stochastic_processes.
- Feynman–Kac_formula comment "The Feynman–Kac formula named after Richard Feynman and Mark Kac, establishes a link between parabolic partial differential equations (PDEs) and stochastic processes. It offers a method of solving certain PDEs by simulating random paths of a stochastic process. Conversely, an important class of expectations of random processes can be computed by deterministic methods.".
- Feynman–Kac_formula label "Feynman-Kac-Formel".
- Feynman–Kac_formula label "Feynman-Kac-formalisme".
- Feynman–Kac_formula label "Feynman–Kac formula".
- Feynman–Kac_formula label "Formula di Feynman-Kac".
- Feynman–Kac_formula label "Формула Фейнмана — Каца".
- Feynman–Kac_formula label "ファインマン-カッツの公式".
- Feynman–Kac_formula label "费曼－卡茨公式".
- Feynman–Kac_formula sameAs Feynman%E2%80%93Kac_formula.
- Feynman–Kac_formula sameAs Feynman-Kac-Formel.
- Feynman–Kac_formula sameAs Formula_di_Feynman-Kac.
- Feynman–Kac_formula sameAs ファインマン-カッツの公式.
- Feynman–Kac_formula sameAs 파인만-카츠_공식.
- Feynman–Kac_formula sameAs Feynman-Kac-formalisme.
- Feynman–Kac_formula sameAs Q1317359.
- Feynman–Kac_formula sameAs Q1317359.
- Feynman–Kac_formula wasDerivedFrom Feynman–Kac_formula?oldid=602152312.