A Feynman–Kac formula for stochastic Dirichlet problems

Máté Gerencsér and István Gyöngy

Stochastic Processes and their Applications, 2019, vol. 129, issue 3, 995-1012

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 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.04.003

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