Representation Formula for Viscosity Solutions to a class of Nonlinear Parabolic PDEs

MaRDI QIDQ6370940zbMATH OpenFDO

Authors Marco Pozza

Publication date 22 June 2021

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.

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