Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise

DOI10.1137/17M1163359zbMATH Open1411.60101OpenAlexW2931635313MaRDI QIDQ4631723FDOQ4631723

Authors: Jian Song, Qi Zhang, Xiaoming Song 

Publication date: 18 April 2019

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1163359

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zbMATH Keywords

stochastic partial differential equationsbackward doubly stochastic differential equationsrandom dynamical systemsstationary solutionsFeynman-Kac formulasramdom periodic solutions

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

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Cited In (12)

• A stochastic feynman-kac formula for anticipating spde's, and application to nonlinear smoothing
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• BSDEs generated by fractional space-time noise and related SPDEs
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• A Feynman-Kac formula for stochastic Dirichlet problems
• A Feynman–Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise
• Stochastic maximum principle for systems driven by local martingales with spatial parameters
• High-accuracy time discretization of stochastic fractional diffusion equation
• Stationary backward stochastic differential equations and associated partial differential equations
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• Periodic measures and Wasserstein distance for analysing periodicity of time series datasets
• A Feynman-Kac-type formula for the deterministic and stochastic wave equations and other p.d.e.'s

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