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arXiv:2106.11671 [math.AP]AbstractReferencesReviewsResources

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

Marco Pozza

Published 2021-06-22Version 1

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.

Comments: 29 pages. arXiv admin note: text overlap with arXiv:1907.07104
Categories: math.AP
Subjects: 35K55, 60H30
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