Conditional expectations of brownian functionals and their applications

Weijian Zhang

Stochastic Processes and their Applications, 1989, vol. 31, issue 1, 117-131

Abstract: This work studies the analytical expressions of the expectations of the forms with {w(t), t >= 0} being a d-dimensional Brownian motion. Its application in obtaining solutions of Fokker-Planck equations is studied. Finally, a generalization from Brownian motion to diffusion processes is given in a one-dimensional setting.

Keywords: Brownian; motion; conditional; expectation; diffusion; processes; Fokker-Planck; equations; parabolic; PDE (search for similar items in EconPapers)
Date: 1989
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