I don't understand some parts of example 5.7 on pages 70~71 of Björk's book. I guess this stuff is very very basic. So here it goes:Giveni get.Then Björk saysWhy is that?Also, finally Björk writesWhy? and finallywhere I also don't really see where that's coming from.Well, maybe you guys can help me. Thanks a lot!!

see the comments below. QuoteOriginally posted by: CrashedMintI don't understand some parts of example 5.7 on pages 70~71 of Björk's book. I guess this stuff is very very basic. So here it goes:Giveni get.%%%% that is right %%%%%%%Then Björk saysWhy is that?%%%% i do not see the point, either. %%%%%Also, finally Björk writesWhy? %%%% because of feynman-kac and the definition of the variance %%%%and finally%%%% i think the big X must be the small x here. finally, you can verify the solution by plugging it into the PDE and the boundary condition.%%%%%where I also don't really see where that's coming from.Well, maybe you guys can help me. Thanks a lot!!