#dynkin's_formula
Dynkin's formula
Theorem in stochastic analysis
In mathematics — specifically, in stochastic analysis — Dynkin's formula is a theorem giving the expected value of any suitably smooth function applied to a Feller process at a stopping time. It may be seen as a stochastic generalization of the (second) fundamental theorem of calculus. It is named after the Russian mathematician Eugene Dynkin.
Thu 30th
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