Integral equation characterization of the Feynman–Kac formula for a regime-switching diffusion
In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman–Kac formula for a regime-switching diffusion. We give a sufficient condition to guarantee the uniqueness of solutions to the integral equation and provide an example in the c...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-02-01
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| Series: | Results in Applied Mathematics |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037419300871 |