A Feynman–Kac formula for stochastic Dirichlet problems Journal Article


Author(s): Gerencsér, Máté; Gyöngy, István
Article Title: A Feynman–Kac formula for stochastic Dirichlet problems
Affiliation IST Austria
Abstract: A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that appear in the usual formulation are not even defined in the Itô sense.
Keywords: Stochastic PDEs, Dirichlet boundary condition, Method of characteristics
Journal Title: Stochastic Processes and their Applications
ISSN: 03044149
Publisher: Elsevier  
Date Published: 2018-04-17
URL:
DOI: 10.1016/j.spa.2018.04.003
Open access: yes (repository)
IST Austria Authors
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