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Does $E^{x,t}(f(X_T))$ solve a PDE if $f$ is not continuous?
Many books [see below for references] explore the connections between partial differential equations and expectation values.
Assume $X$ is a diffusion with generator $A$, then they conclude, that ...
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0
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Weak solutions of linear parabolic PDEs and corresponding SDEs
It is well known that for an Stochastic differential equation (on the real line) of the form:
$dX_t = \mu(X_t)dt + \sigma(X_t)dW$
where $W$ is the standard Wiener process, the transition probability ...
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