A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
建立了一类非局部抛物型终端-边界值问题的随机表示，将解表示为带边界随机跳跃的扩散过程泛函的期望，并应用于双用途基金定价、再生过程及一维非刚体熵建模。
We establish a stochastic representation for a class of nonlocal parabolic terminal–boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; in particular, the solution is represented as the expectation of functionals of a diffusion process with random jumps from boundaries. We discuss three applications of the representation, the first one on the pricing of dual-purpose funds, the second one on the connection to regenerative processes, and the third one on modeling the entropy on a one-dimensional nonrigid body.