Continuity of the Feynman-Kac formula for a generalized parabolic equation
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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.
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Cites work
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- Backward stochastic variational inequalities on random interval
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Cited in
(12)- Parabolic equations and Feynman-Kac formula on general bounded domains
- Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition
- Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions
- Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions
- The Feynman-Kac formula for a system of parabolic equations
- scientific article; zbMATH DE number 851652 (Why is no real title available?)
- scientific article; zbMATH DE number 2239814 (Why is no real title available?)
- 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
- Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
- Probabilistic representation of the parabolic stochastic variational inequality with Dirichlet–Neumann boundary and variational generalized backward doubly stochastic differential equations
- Large deviations for generalized backward stochastic differential equations
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