Conditional expectations of brownian functionals and their applications

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.

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Year of publication:	1989
Authors:	Zhang, Weijian
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 31.1989, 1, p. 117-131
Publisher:	Elsevier
Keywords:	Brownian motion conditional expectation diffusion processes Fokker-Planck equations parabolic PDE

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873990