On the Feynman–Kac representation for solutions of the Cauchy problem for parabolic equations in divergence form

DOI10.1080/17442500500183198zbMath1091.60019OpenAlexW2008854001MaRDI QIDQ5704637

Andrzej Rozkosz

Publication date: 15 November 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500183198

zbMATH Keywords

Feynman-Kac formulabackward stochastic differential equationlinear PDEdivergence form elliptic operatorsCauchy poblem

Mathematics Subject Classification ID

Diffusion processes (60J60) Initial value problems for second-order parabolic equations (35K15) Local time and additive functionals (60J55)

Related Items (5)

Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach ⋮ On time-dependent functionals of diffusions corresponding to divergence form operators ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations ⋮ Obstacle problem for semilinear parabolic equations with measure data

Cites Work

• Stochastic representation of diffusions corresponding to divergence form operators
• Backward SDEs and Cauchy problem for semilinear equations in divergence form
• On Dirichlet processes associated with second order divergence form operators
• On non-continuous Dirichlet processes
• A probabilistic interpretation of the divergence and BSDE's.

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