Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula

DOI10.1142/S0219493721500040zbMATH Open1470.60143arXiv1908.07168OpenAlexW3012154301MaRDI QIDQ4965637FDOQ4965637

Authors: Hanxiao Wang 

Publication date: 9 March 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerate) parabolic equations. We first introduce the extended backward stochastic Volterra integral equations (EBSVIEs, for short). Under some mild conditions, we establish the well-posedness of EBSVIEs and obtain some regularity results of the adapted solution to the EBSVIEs via Malliavin calculus. We show that a given function expressed in terms of the solution to the EBSVIEs solves a certain system of non-local parabolic partial differential equations (PDEs, for short), which generalizes the famous nonlinear Feynman-Kac formula in Pardoux{Peng [21].

Full work available at URL: https://arxiv.org/abs/1908.07168

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zbMATH Keywords

probabilistic representationnonlinear Feynman-Kac formulabackward stochastic Volterra integral equationquasilinear parabolic partial differential equation

Mathematics Subject Classification ID

Quasilinear parabolic equations (35K59) Second-order parabolic systems (35K40) Volterra integral equations (45D05) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Cited In (10)

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