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

DOI10.1080/17442508.2016.1276911zbMATH Open1394.60065arXiv1602.01309OpenAlexW2257312014MaRDI QIDQ4584667FDOQ4584667

Authors: Etienne Pardoux, Aurel Răşcanu 

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Abstract: It is well-known since the work of Pardoux and Peng [12] that Backward Stochastic Differential Equations provide probabilistic formulae for the solution of (systems of) second order elliptic and parabolic equations, thus providing an extension of the Feynman-Kac formula to semilinear PDEs, see also Pardoux and Rascanu [14]. This method was applied to the class of PDEs with a nonlinear Neumann boundary condition first by Pardoux and Zhang [15]. However, the proof of continuity of the extended Feynman-Kac formula with respect to x (resp. to (t,x)) is not correct in that paper. Here we consider a more general situation, where both the equation and the boundary condition involve the (possibly multivalued) gradient of a convex function. We prove the required continuity. The result for the class of equations studied in [15] is a Corollary of our main results.

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

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zbMATH Keywords

backward stochastic differential equationssubdifferential operatorsFeyman-Kac formula

Mathematics Subject Classification ID

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

Cites Work

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Cited In (9)

• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
• Parabolic equations and Feynman-Kac formula on general bounded domains
• The Feynman-Kac formula for a system of parabolic equations
• 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
• Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions
• Title not available (Why is that?)
• Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition

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