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Comonotonicity 1 Diffusion processes 1 Path integral 1 Transition probability 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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DE SCHEPPER, Ann 1 DECAMPS, Marc 1 GOOVAERTS, Marc 1
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Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1
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Working Papers / Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1
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RePEc 1
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Transition probabilities for diffusion equations by means of path integrals
GOOVAERTS, Marc; DE SCHEPPER, Ann; DECAMPS, Marc - Faculteit Toegepaste Economische Wetenschappen, … - 2002
transition probabilities for rather general diffusion processes can always be expressed by means of a path integral. For several … probability, which is useful in case the path integral is too complex to be calculated. The approximation we present, is based on …
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