確率微分方程式とオプション値計算

最近確立過程とＳＤＥを学びながら停止時間と到達時間の計算式を見ています。難しい所は複数ありますが特に偏微分方程式の作り方とコロモゴロフの前向きと後ろ向き方程式の使い方が問題点だった。それ以外はPx,0(tau>T)=x/sqrt(2*pi*T)はよく分からない。N(0) = 1/2 and N'(0) = 1/sqrt(2pi). Here, though, it would seem that the derivative element of N'(0) is not the time derivative but the position derivative. In addition, there seems to be no relationship between the N(0), N'(0), and Px,t(tau>T)=1-2N(-x/sqrt(T-t)). Actually, though, the argument inside the normal CDF goes to 0 as T->infinity. たぶん微分に間違いが入っている。N'(0) = 1/sqrt(2*pi*T). Thus, the x/sqrt(2*pi*T) value is likely the one term Taylor series about x.