On the Feynman–Kac representation for solutions of the Cauchy problem for parabolic equations in divergence form

DOI10.1080/17442500500183198zbMath1091.60019MaRDI QIDQ5704637

Andrzej Rozkosz

Publication date: 15 November 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500500183198

zbMATH Keywords

Feynman-Kac formula; backward stochastic differential equation; linear PDE; divergence form elliptic operators; Cauchy poblem

Mathematics Subject Classification ID

60J60: Diffusion processes

35K15: Initial value problems for second-order parabolic equations

60J55: Local time and additive functionals

Related Items

On time-dependent functionals of diffusions corresponding to divergence form operators, Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form, Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations, Obstacle problem for semilinear parabolic equations with measure data, Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach

Cites Work

• Stochastic representation of diffusions corresponding to divergence form operators
• Backward SDEs and Cauchy problem for semilinear equations in divergence form
• On Dirichlet processes associated with second order divergence form operators
• On non-continuous Dirichlet processes
• A probabilistic interpretation of the divergence and BSDE's.