Nonlinear Feynman-Kac formulae for SPDEs with space-time noise

Authors Jian Song, Xiaoming Song, Qi Zhang

Publication date 1 December 2017

Abstract: We study a class of backward doubly stochastic differential equations (BDSDEs) involving martingales with spatial parameters, and show that they provide probabilistic interpretations (Feynman-Kac formulae) for certain semilinear stochastic partial differential equations (SPDEs) with space-time noise. As an application of the Feynman-Kac formulae, random periodic solutions and stationary solutions to certain SPDEs are obtained.

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