请问怎样用Feynman–Kac formula？

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我的理解是，y(t,vt)是个鞅，根据ito foemula求出它的微分，然后其漂移项为零，最后得出偏微分方程。但为什么我求出来没有p(u2)vy这项？求大家帮忙解答一下，谢谢了哦。（vt是不是不满足ito fomula的条件，故不能用ito formula求y的微分?）

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关键词：Feynman Formula form Mul For 求助

The problem may be that y(v,t) is not a martingale,

but if you multiply y by exp(p(u2)∫(0 to t)vs ds)，y*exp(p(u2)∫(0 to t)vs ds) will be a martingale. That's why you miss a term there. (Just my first glance, perhaps not correct).

If you have trouble for verifying that y*exp(p(u2)∫(0 to t)vs ds) is a martingale, come back to me.

best,

Chemist_MZ 发表于 2013-9-21 21:38
The problem may be that y(v,t) is not a martingale,

but if you multiply y by exp(p(u2)∫(0 to t)v ...

谢了，的确是你说的那样

{:soso_e100:}{:soso_e100:}{:soso_e100:}

Chemist_MZ 发表于 2013-9-21 21:38
The problem may be that y(v,t) is not a martingale,

but if you multiply y by exp(p(u2)∫(0 to t)v ...

Why y is not a martingale but y*exp...is?
Thanks!