Semilinear Feynman-Kac Formulae for B-Continuous Viscosity Solutions

arXiv2303.10038MaRDI QIDQ6429958FDOQ6429958

Authors: Lukas Wessels 

Publication date: 17 March 2023

Abstract: We prove the existence of a $B$-continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our approach also yields a stochastic representation formula for the solution in terms of a scalar-valued backward stochastic differential equation. The uniqueness is proved under additional assumptions using a comparison theorem for viscosity solutions. Our results constitute the first nonlinear Feynman-Kac formula using the notion of $B$-continuous viscosity solutions and thus introduces a framework allowing for generalizations to the case of fully nonlinear PDEs.

This page was built for publication: Semilinear Feynman-Kac Formulae for $B$-Continuous Viscosity Solutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6429958)