Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
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Publication:4609679
DOI10.5802/AFST.1556zbMATH Open1392.35335arXiv1412.6557OpenAlexW1792567290MaRDI QIDQ4609679FDOQ4609679
Authors: Joscha Diehl, Peter Friz, Wilhelm Stannat 
Publication date: 23 March 2018
Published in: Annales de la Faculté des sciences de Toulouse : Mathématiques (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1412.6557
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Cited In (25)
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- Rough semimartingales and \(p\)-variation estimates for martingale transforms
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