Connection with linear PDEs: The Feynman-Kac formula

2 Junho 2010, 10:00 Juan António Acebron de Torres

It has been discussed the Feynman-Kac formula, and how the solution of linear elliptic and parabolic PDEs can be obtained through an expected value of a functional of a suited stochastic process, solution of an Ito stochastic differential equation.