On backward Kolmogorov equation related to CIR process
We consider the existence of a classical smooth solution to the backward Kolmogorov equation \[ \left\{\begin{array}{l@{\hskip10.0pt}l}\partial _{t}u(t,x)=Au(t,x),\hspace{1em}& x\ge 0,\hspace{2.5pt}t\in [0,T],\\{} u(0,x)=f(x),\hspace{1em}& x\ge 0,\end{array}\right.\] where A is the generator...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2018-03-01
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| Series: | Modern Stochastics: Theory and Applications |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/18-VMSTA98 |