AN EXTENSION OF KRYLOV APPROACH TO STOCHASTIC SOLUTIONS - THE SPACE-LE

We extend Krylov (1980)'s L-derivative approach to stochastic solution s. His results are based on polynomial growth of the payoff function w hich is inconvenient for most financial applications. A space called L E, which is the set of Markov diffusions whose exponential moments are finite, is introduced to incorporate exponential growth.