arXiv:1907.07104 [math.AP]AbstractReferencesReviewsResources
Representation Formula for Viscosity Solutions to Parabolic PDEs with Sublinear Operators
Published 2019-07-16Version 1
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [5]. The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.
Comments: 23 pages
Categories: math.AP
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