Probabilistic Interpretation of Solutions of Linear Ultraparabolic Equations

Michael D. Marcozzi
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Michael D. Marcozzi: Department of Mathematical Sciences, University of Nevada Las Vegas, Las Vegas, NV 89154-4020, USA

Mathematics, 2018, vol. 6, issue 12, 1-16

Abstract: We demonstrate the existence, uniqueness and Galerkin approximatation of linear ultraparabolic terminal value/infinite-horizon problems on unbounded spatial domains. Furthermore, we provide a probabilistic interpretation of the solution in terms of the expectation of an associated ultradiffusion process.

Keywords: ultraparabolic equation; ultradiffusion process; probabilistic representation; mathematical finance (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2018
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