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

arXiv2106.11671MaRDI QIDQ6370940FDOQ6370940

Publication date: 22 June 2021

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.

Mathematics Subject Classification ID

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

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