Semilinear Feynman-Kac Formulae for $B$-Continuous Viscosity Solutions
Probability
2025-01-14 v2 Analysis of PDEs
Abstract
We prove the existence of a -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 -continuous viscosity solutions and thus introduces a framework allowing for generalizations to the case of fully nonlinear PDEs.
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