We provide a representation formula for viscosity solutions to nonlinear second order PDE problems given as a sup-envelope function. This is done through a dynamic programming principle derived from Denis, Hu and 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.
Stochastic representation formulas for viscosity solutions to nonlinear partial differential equations
POZZA, MARCO
2020
Abstract
We provide a representation formula for viscosity solutions to nonlinear second order PDE problems given as a sup-envelope function. This is done through a dynamic programming principle derived from Denis, Hu and 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.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14242/86855
Il codice NBN di questa tesi è
URN:NBN:IT:UNIROMA1-86855