Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion (1912.05985v1)

Published 12 Dec 2019 in math.PR and math.FA

Abstract: In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give a sufficient condition to guarantee the uniqueness of solutions to the integral equation and provide an example in the context of option pricing under the Ornstein-Uhlenbeck regime-switching model.

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Authors (1)

Adriana Ocejo

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