Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations

DOI10.1214/21-AIHP1158zbMATH Open1494.35071arXiv2004.05825OpenAlexW3015206066WikidataQ113752012 ScholiaQ113752012MaRDI QIDQ2155507FDOQ2155507

Authors: Yanyan Li 

Publication date: 15 July 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependent partial differential equations (PPDEs, for short). Due to the nature of Volterra type equations, the usual flow property (or semigroup property) does not hold. Inspired by Viens-Zhang cite{Viens-Zhang-2019} and Wang-Yong cite{Wang-Yong-2019}, auxiliary processes are introduced so that the flow property of adapted solutions to the FBSVIEs is recovered in a suitable sense, and thus the functional It^o's formula is applicable. Having achieved this stage, a natural PPDE is found so that the adapted solution of the backward SVIEs admits a representation in terms of the solution to the forward SVIE via the solution to a PPDE. On the other hand, the solution of the PPDE admits a representation in terms of adapted solution to the (path dependent) FBSVIE, which is referred to as a Feynman-Kac formula. This leads to the existence and uniqueness of a classical solution to the PPDE, under smoothness conditions on the coefficients of the FBSVIEs. Further, when the smoothness conditions are relaxed with the backward component of FBSVIE being one-dimensional, a new (and suitable) notion of viscosity solution is introduced for the PPDE, for which a comparison principle of the viscosity solutions is established, leading to the uniqueness of the viscosity solution. Finally, some results have been extended to coupled FBSVIEs and type-II BSVIEs, and a representation formula for the path derivatives of PPDE solution is obtained by a closer investigation of linear FBSVIEs.

Full work available at URL: https://arxiv.org/abs/2004.05825

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zbMATH Keywords

comparison principleFeynman-Kac formulaviscosity solutionforward backward stochastic Volterra integral equationpath dependent partial differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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Cited In (13)

• Markovian integral equations
• Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
• Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
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• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

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