Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
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Abstract: We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on RPDEs, our definition gives honest meaning to RPDEs as integral equation, based on which we are able to obtain existence, uniqueness and stability results. The case of weak "rough" forward equations, may be seen as robustification of the (measure-valued) Zakai equation in the rough path sense. Feynman-Kac representation for RPDEs, in formal analogy to similar classical results in SPDE theory, play an important role.
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(25)- Rough nonlocal diffusions
- Existence, uniqueness and stability of semi-linear rough partial differential equations
- Hörmander's theorem for semilinear SPDEs
- Rough semimartingales and \(p\)-variation estimates for martingale transforms
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