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In Chap. 6, we have discussed two approaches to derive the FPK equation governing the probability density function of the response of stochastic differential equation. The FPK equation is a parabolic partial differential equation (PDF), which is widely employed to describe the evolution of complex systems in various fields, including physics, engineering and finance.

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Method of Feynman-Kac

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  • 发表日期：

    2025年

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  • Jian-Qiao Sun

摘要

In Chap. 6, we have discussed two approaches to derive the FPK equation governing the probability density function of the response of stochastic differential equation. The FPK equation is a parabolic partial differential equation (PDF), which is widely employed to describe the evolution of complex systems in various fields, including physics, engineering and finance.