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Talk:Feynman–Kac formula

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This is an old revision of this page, as edited by 68.40.122.241 (talk) at 00:32, 17 August 2009. The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

The proof given only shows that if you have a solution to the PDE, then it has the stochastic representation. It doesn't actually show that if you define such a function, it solves the PDE.


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I think there should be some mention that the 1st formula is actually the linear Fokker-Planck or also known as the Kolmogorov Forward equation. it is very important to show the links between various formulations. The claim that the expectation of an Ito integral is zero is not true in general, since the Ito integral is in general only a local martingale.

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It would be cool to have references to the original works. —Preceding unsigned comment added by 130.207.104.54 (talk) 18:45, 2 May 2008 (UTC)[reply]

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