Alan
Senior Member
Posts: 7774
Joined: Dec 2001

Tue Oct 25, 11 04:19 PM


Quote
Originally posted by: jfuqua The solution for the forward BlackScholes equation using finite differences is shown many books/papersi.e. from the equation through to which kinds of differences are done for the dv/ds, dv/dt, etc. but I've never seen that detail for the FokkerPlanck. Does such an illustration exist ?
It is derievd by differentiating the ChapmanKolmogorov relation under suitable assumptions about the underlying stochastic process. I think you can find this in Doob's Stochastic Processes book. The derivation uses a Taylor expansion, so somewhat analogous to what you are asking for.
Edited: Tue Oct 25, 11 at 04:43 PM by Alan

