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Thumbnail for entry Lecture 22: Links between SDEs and PDEs

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