The Backward Kolmogorov Equation for Discrete Markov Chains
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4 ай бұрынWe prove that Backward Kolmogorov Equations for discrete Markov chains. This is a recursion relation for the conditional expectation of a function of the nth step of the process given the initial distribution. This is equation is used in mathematical finance.
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@sangreshop9489 3 ай бұрын
I find your videos really great and really intuitive... keep up the good work
@mikethemathematician 3 ай бұрын
@sangreshop9489 Thanks! more videos coming soon!
@anson831poon 3 ай бұрын
What is the difference between forward and backward Komogorov equations thx
@mikethemathematician 3 ай бұрын
@anson831poon The Backward Kolmogorov equation gives dynamics for the row vector P(X_n=i), the distribution that at time n the chain is at location i. The forward Kolmogorov equation gives dynamics for the column vector of conditions expectations: E(f(X_n)|X_0 =i). This is very useful is mathematical finance.
@omniscienceisdead8837 3 ай бұрын
first one here!😇
@mikethemathematician 3 ай бұрын
@omniscienceisdead8837 enjoy!
Mike, the Mathematician
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Gufee.medalin
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