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

DOI10.1142/S0219493721500040MaRDI QIDQ4965637zbMATH OpenOpenAlexFDO

Authors Hanxiao Wang

Publication date 9 March 2021

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

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

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)

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].

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Cited in

(11)

• Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
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• Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
• Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
• Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
• Continuity of the Feynman-Kac formula for a generalized parabolic equation

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