IDEAS home Printed from https://ideas.repec.org/a/inm/ormoor/v47y2022i3p1707-1730.html
   My bibliography  Save this article

A Stochastic Representation for Nonlocal Parabolic PDEs with Applications

Author

Listed:
  • Min Dai

    (Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong SAR, China)

  • Steven Kou

    (Department of Finance, Questrom School of Business, Boston University, Boston, Massachusetts 02215)

  • Chen Yang

    (Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong SAR, China)

Abstract

We establish a stochastic representation for a class of nonlocal parabolic terminal–boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; in particular, the solution is represented as the expectation of functionals of a diffusion process with random jumps from boundaries. We discuss three applications of the representation, the first one on the pricing of dual-purpose funds, the second one on the connection to regenerative processes, and the third one on modeling the entropy on a one-dimensional nonrigid body.

Suggested Citation

  • Min Dai & Steven Kou & Chen Yang, 2022. "A Stochastic Representation for Nonlocal Parabolic PDEs with Applications," Mathematics of Operations Research, INFORMS, vol. 47(3), pages 1707-1730, August.
    • Handle: RePEc:inm:ormoor:v:47:y:2022:i:3:p:1707-1730
    DOI: 10.1287/moor.2020.1061
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/moor.2020.1061
    Download Restriction: no
    File URL: https://libkey.io/10.1287/moor.2020.1061?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormoor:v:47:y:2022:i:3:p:1707-1730. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.