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7. Application to the probabilistic interpretation of PDE solutions
We have just seen in Theorem23 and Proposition 12 that the infinitesimal generator
of a diffusion process is an elliptic differential operator of order 2 (or an extension of such an operator). Thus, some probabilistic calculations are subject to partial differential equation techniques, and vice versa.
In the following, we'll say that a function
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Application to the probabilistic interpretation of PDE solutions
Measurement changes and martingale representation
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