View the step-by-step solution to:

# Exercise 5.12 Consider the following boundary value problem in the domain [0,T] X R. (9F 3F 1 (PF | ,u(t,:r)a | o2(t,;1:) l T(t,;1: 0, a: at 635:2...

stochastic problem， boundary problem. Maybe I should figure out dz first, but how?

Exercise 5.12 Consider the following boundary value problem in the domain
[0,T] X R. (9F 3F 1 (PF
— —|— ,u(t,:r)a— —|— §o2(t,;1:)— —l— T(t,;1:)F : 0,
a: at 635:2
F(T,\$) : @(gr). Here #05, :13), 0(t, 3:), r05, :17) and @(gr) are assumed to be known functions. Prove
that this problem has a stochastic representation formula of the form F(t, 2:) : Em: [©(XT)eLTT(SsXa)dS] , by considering the process ZS : F (s,Xs) &gt;&lt; exp U: r(u,Xu)du] on the time
interval [t,T].

### Why Join Course Hero?

Course Hero has all the homework and study help you need to succeed! We’ve got course-specific notes, study guides, and practice tests along with expert tutors.

### -

Educational Resources
• ### -

Study Documents

Find the best study resources around, tagged to your specific courses. Share your own to gain free Course Hero access.

Browse Documents