Semilinear Feynman-Kac Formulae for $B$-Continuous Viscosity Solutions
We prove the existence of a $B$-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 stochasti...
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Sprache: | eng |
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Zusammenfassung: | We prove the existence of a $B$-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 $B$-continuous
viscosity solutions and thus introduces a framework allowing for
generalizations to the case of fully nonlinear PDEs. |
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DOI: | 10.48550/arxiv.2303.10038 |