相关论文: Feynman-Kac formula under a finite entropy conditi…
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…
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process. For this purpose, we introduce a class of…
In this work, we prove existence and uniqueness of a bounded viscosity solution for the Cauchy problem of degenerate parabolic equations with variable exponent coefficients. We construct the solution directly using the stochastic…
This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependent partial differential equations (PPDEs, for short). Due to…
The growth-fragmentation equation describes a system of growing and dividing particles, and arises in models of cell division, protein polymerisation and even telecommunications protocols. Several important questions about the equation…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process.…
We study the asymptotic behavior of solutions to the second boundary value problem for a parabolic PDE of Monge-Amp\`ere type arising from optimal mass transport. Our main result is an exponential rate of convergence for solutions of this…
In this work, we propose a method for solving Kolmogorov hypoelliptic equations based on Fourier transform and Feynman-Kac formula. We first explain how the Feynman-Kac formula can be used to compute the fundamental solution to parabolic…
We study the Hessian of the fundamental solution to the parabolic problem for weighted Schr\"odinger operators of the form $\frac 12 \Delta+\nabla h-V$ proving a second order Feynman-Kac formula and obtaining Hessian estimates. For…
The present contribution investigates the well-posedness of a PDE system describing the evolution of a nematic liquid crystal flow under kinematic transports for molecules of different shapes. More in particular, the evolution of the {\em…
In the article we study a hyperbolic-elliptic system of PDE. The system can describe two different physical phenomena: 1st one is the motion of magnetic vortices in the II-type superconductor and 2nd one \ is the collective motion of cells.…
We derive explicit pointwise bounds for the spatial derivative $\left| \frac{\partial V}{\partial x} \right|$ of solutions to linear parabolic PDEs with Neumann boundary conditions. The bound is fully explicit in the sense that it depends…
We consider the parabolic Anderson model driven by fractional noise: $$ \frac{\partial}{\partial t}u(t,x)= \kappa \boldsymbol{\Delta} u(t,x)+ u(t,x)\frac{\partial}{\partial t}W(t,x) \qquad x\in\mathbb{Z}^d\;,\; t\geq 0\,, $$ where…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…
Probabilistic solutions of the so called Schr\"{o}dinger boundary data problem provide for a unique Markovian interpolation between any two strictly positive probability densities designed to form the input-output statistics data for the…
This article addresses the local boundedness and H\"older continuity of weak solutions to kinetic Fokker-Planck equations with general transport operators and rough coefficients. These results are due to the mixing effect of diffusion and…
The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the…
We provide a self-contained analysis, based entirely on pde methods, of the exponentially long time behavior of solutions to linear uniformly parabolic equations which are small perturbations of a transport equation with vector field having…
The main objective of this paper and the accompanying one \cite{ETZ2} is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work \cite{EKTZ}, focused on the…
We study the asymptotic convergence of the partial averaging method, a technique used in conjunction with the random series implementation of the Feynman-Kac formula. We prove asymptotic bounds valid for most series representations in the…