Continuity of the Feynman–Kac formula for a generalized parabolic equation

DOI10.1080/17442508.2016.1276911zbMath1394.60065arXiv1602.01309OpenAlexW2257312014MaRDI QIDQ4584667

Etienne Pardoux, Aurel Răşcanu

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.01309

zbMATH Keywords

backward stochastic differential equationssubdifferential operatorsFeyman-Kac formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (5)

Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions ⋮ Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions ⋮ System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains ⋮ Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions ⋮ Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition

Cites Work

• Viscosity solutions for systems of parabolic variational inequalities
• Existence and uniqueness of bounded weak solutions of a semilinear parabolic PDE
• Ergodic BSDEs and related PDEs with Neumann boundary conditions
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• A stochastic approach to a multivalued Dirichlet-Neumann problem
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• Backward stochastic variational inequalities on random interval
• Stochastic differential equations, backward SDEs, partial differential equations
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Backward stochastic variational inequalities
• Reflected BSDE and Locally Periodic Homogenization of Semilinear PDEs with Nonlinear Neumann Boundary Condition

This page was built for publication: Continuity of the Feynman–Kac formula for a generalized parabolic equation