On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

Goran Peskir ()
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Goran Peskir: University of Aarhus, Department of Mathematical Sciences

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 535-546 from Springer

Keywords: Fundamental Solution; Hypergeometric Function; Standard Brownian Motion; Follow Boundary Condition; Geometric Brownian Motion (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_26

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DOI: 10.1007/978-3-540-30788-4_26

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