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Lecture 56: Kolmogorov backward equation and… duration 1 hour 8 minutes Lecture 56: Kolmogorov backward equation and… Lecture 56: Kolmogorov backward equation and Feynman-Kac representation	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. kolmogorov backward equation markov property feynman-kac representation martingale property exit time barrier options From Tiziano Vargiolu 35 plays 0
Lecture 22: Links between SDEs and PDEs duration 27 minutes 33 seconds Lecture 22: Links between SDEs and PDEs Lecture 22: Links between SDEs and PDEs	Lecture 22: Links between SDEs and PDEs The Kolmogorov backward equation. kolmogorov backward equation martingale property parabolic equations partial differential equations ito-doeblin formula stochastic differential equations markov property From Tiziano Vargiolu 24 plays 0