Nonlinear Feynman-Kac formulae for SPDEs with space-time noise
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Publication:6294705
arXiv1712.00475MaRDI QIDQ6294705FDOQ6294705
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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