Feynman-Kac theorem in Hilbert spaces (Q2926375)

The authors apply the Feynman-Kac formula to connect a stochastic equation on Hilbert space to a deterministic Cauchy problem for partial differential equations. The paper concerns the stochastic equation NEWLINE\[NEWLINEdX(t)= AX(t) + BdW(t),\quad t\in [0,T],\quad X(0)=\xi,NEWLINE\]NEWLINE in an infinite dimensional Hilbert space \(H\) in which \(A\) is the generator of a \(C_0\)-semigroup on \(H\) and the operator \(B\) is bounded linear or Hilbert-Schmidt. Associated to this equation is the partial differential equation NEWLINE\[NEWLINE\frac{\partial g}{\partial t} + \frac{\partial g}{\partial x}Ax + \frac{1}{2}Tr\Big[(BQ^{1/2})^*\frac{\partial ^2 g}{\partial x^2}(BQ^{1/2})\Big]=0NEWLINE\]NEWLINE for the probability characteristic \(g(t,x)= {\mathbb E}^{t,x}[h(X(T))]\) with terminal condition \(g(T,x)= h(x)\), where \(h\) is an arbitrary Borel function.