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.File allegati a questo prodotto
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