We provide a representation formula for viscosity solutions to nonlinear second order PDE problems given as a sup-envelope function. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.

Stochastic representation formulas for viscosity solutions to nonlinear partial differential equations / Pozza, Marco. - (2020 Apr 16).

Stochastic representation formulas for viscosity solutions to nonlinear partial differential equations

POZZA, MARCO
16/04/2020

Abstract

We provide a representation formula for viscosity solutions to nonlinear second order PDE problems given as a sup-envelope function. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.
16-apr-2020
File allegati a questo prodotto
File Dimensione Formato  
Tesi_dottorato_Pozza.pdf

accesso aperto

Tipologia: Tesi di dottorato
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 827.47 kB
Formato Adobe PDF
827.47 kB Adobe PDF

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1386359
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact