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Kolmogorov equations

Known as: Forward equation, Kolmogorov backward equation, Kolmogorov forward equation 
In probability theory, Kolmogorov equations, including Kolmogorov forward equations and Kolmogorov backward equations, characterize random dynamic… 
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Related topics

Related topics

4 relations
Brownian motionEcologyFree energy principleStochastic process

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2020
2020
Sequential Decomposition of Mean-Field Games
We consider both finite and infinite horizon discounted mean-field games where there is a large population of homogeneous players… 
2013
2013
A cell-vertex finite volume scheme for solute transport equations in open channel networks
2013
2013
Backward Solution of Markov Chains and Markov Regenerative Processes: Formalization and Applications
Review
2007
Review
2007
Kolmogorov equations arising in finance: direct and inverse problems
Recent results about linear partial differential equations of Kolmogorov type are reviewed. They are examined in the context of… 
2007
2007
Path integral measure factorization in path integrals for diffusion of Yang-Mills fields
Factorization of the (formal) path integral measure in a Wiener path integrals for Yang--Mills diffusion is studied. Using the… 
2006
2006
Fundamental solutions to Kolmogorov equations via reduction to canonical form
This paper finds fundamental solutions to the backward Kolmogorov equations, usually interpretable as transition density… 
2005
2005
MODELAGEM DO CRESCIMENTO E DA PRODUÇÃO DE Pinus taeda L. POR MEIO DE FUNÇÃO PROBABILÍSTICA
The objective of this work was to test the “probability function” for growth and yield modelling. The data came from 325… 
2005
2005
Numerical Methods For American Options
The problem of solving the Black-Scholes equation for the valuation of American options is tackled using a Crank-Nicolson finite… 
2001
2001
Ratings versus equity-based credit risk modelling: an empirical analysis
Banks have recently developed new techniques for gauging the credit risk associated with portfolios of illiquid, defaultable… 
2000
2000
Forward{backward stochastic dierential equations with nonsmooth coecients
Solvability of forward{backward stochastic dierential equations with nonsmooth coecients is considered using the Four-Step Scheme… 
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