Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/97092
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorDai, Men_US
dc.creatorKou, Sen_US
dc.creatorYang, Cen_US
dc.date.accessioned2023-01-26T02:29:57Z-
dc.date.available2023-01-26T02:29:57Z-
dc.identifier.issn0364-765Xen_US
dc.identifier.urihttp://hdl.handle.net/10397/97092-
dc.language.isoenen_US
dc.publisherInstitute for Operations Research and the Management Sciencesen_US
dc.rightsCopyright © 2022, INFORMSen_US
dc.rightsThis is the accepted manuscript of the following article: Dai, M., Kou, S., & Yang, C. (2022). A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Mathematics of Operations Research, 47(3), 1707-1730, which has been published in final form at https://doi.org/10.1287/moor.2020.1061.en_US
dc.subjectDual-purpose fundsen_US
dc.subjectFeynman-Kac representationen_US
dc.subjectLinear thermoelasticityen_US
dc.subjectNonlocal problemsen_US
dc.subjectParabolic PDEsen_US
dc.titleA stochastic representation for nonlocal parabolic PDEs with applicationsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1707en_US
dc.identifier.epage1730en_US
dc.identifier.volume47en_US
dc.identifier.issue3en_US
dc.identifier.doi10.1287/moor.2020.1061en_US
dcterms.abstractWe 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationMathematics of operations research, Aug. 2022, v. 47, no. 3, p. 1707-1730en_US
dcterms.isPartOfMathematics of operations researchen_US
dcterms.issued2022-08-
dc.identifier.eissn1526-5471en_US
dc.description.validate202301 bcchen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera1437-
dc.identifier.SubFormID44986-
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNational Natural Science Foundation of Chinaen_US
dc.description.fundingTextSingapore Ministry of Education (MOE) Academic Research Funden_US
dc.description.fundingTextCUHK Grantsen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
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