Feynman-Kac formula under a finite entropy condition
DOI10.1007/s00440-022-01155-8zbMath1502.35060arXiv2104.09171OpenAlexW4287201714WikidataQ113905083 ScholiaQ113905083MaRDI QIDQ2099819
Publication date: 18 November 2022
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.09171
Hamilton-Jacobi-Bellman equationrelative entropydiffusion processesFeynman-Kac formulaKato classstochastic derivativeextended generatorentropic optimal transport
Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)
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Cites Work
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