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Semilinear Feynman-Kac Formulae for $B$-Continuous Viscosity Solutions

Probability 2025-01-14 v2 Analysis of PDEs

Abstract

We prove the existence of a BB-continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our approach also yields a stochastic representation formula for the solution in terms of a scalar-valued backward stochastic differential equation. The uniqueness is proved under additional assumptions using a comparison theorem for viscosity solutions. Our results constitute the first nonlinear Feynman-Kac formula using the notion of BB-continuous viscosity solutions and thus introduces a framework allowing for generalizations to the case of fully nonlinear PDEs.

Keywords

Cite

@article{arxiv.2303.10038,
  title  = {Semilinear Feynman-Kac Formulae for $B$-Continuous Viscosity Solutions},
  author = {Lukas Wessels},
  journal= {arXiv preprint arXiv:2303.10038},
  year   = {2025}
}

Comments

Accepted for publication in Stoch. Anal. Appl

R2 v1 2026-06-28T09:21:43.189Z