01:08:18 duration 1 hour 8 minutes
Lecture 56: Kolmogorov backward equation and…
Lecture 56: Kolmogorov backward equation and Feynman-Kac representation
The Kolmogorov backward equation. The Feynman-Kac representation formula in the whole space and in bounded domains. Application: barrier options.
33:13 duration 33 minutes 13 seconds
Lecture 23: the Feynman-Kac representation
Links between SDEs and PDEs: the Feynman-Kac representation.