论文信息 - Backward and Forward Equations for Diffusion Processes

Backward and Forward Equations for Diffusion Processes

This article is devoted to the discussion of two fundamental (partial) differential equations, which arise in the context of Markov diffusion processes. After giving a brief introduction of continuous-time continuous-state Markov processes, we introduce the forward and backward equations, and provide a heuristic derivation of these equations for diffusion processes. We also discuss some examples and features of these two equations. Keywords: partial differential equation; forward equation; backward equation; time-homogeneous diffusion; Martingale property

Arka P. Ghosh

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