he duality between SDE and PDE allows to find changeofvariable
transformations that reduce complexity of the problem.
Consider two
SDEs
and
We are interested in evaluation of the expectation
We already established in section
(
Backward_equation_section
) that the
function
is a solution of the following PDE
problem:
Assume existence of a onetoone
relationship
for some functions
and
.
We
calculate
where the function
is a solution of the PDE
problem
We provide two examples.
