A Feynman-Kac formula for stochastic Dirichlet problems
Probability
2019-03-14 v1 Analysis of PDEs
Abstract
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the It\^o sense.
Cite
@article{arxiv.1611.04177,
title = {A Feynman-Kac formula for stochastic Dirichlet problems},
author = {Máté Gerencsér and István Gyöngy},
journal= {arXiv preprint arXiv:1611.04177},
year = {2019}
}