 |
 |
On the well-posedness of a class of McKean Feynman-Kac equations
Abstract : We analyze the well-posedness of a so called McKean Feynman-Kac Equation (MFKE), which is a McKean type equation with a Feynman-Kac perturbation. We provide in particular weak and strong existence conditions as well as pathwise uniqueness conditions without strong regularity assumptions on the coefficients. One major tool to establish this result is a representation theorem relating the solutions of MFKE to the solutions of a nonconservative semilinear parabolic Partial Differential Equation (PDE).
Keywords :
McKean Feynman-Kac equation
Probabilistic representation of PDEs
McKean Stochastic Differental Equations
Semilinear Partial Differential Equations
and phrases McKean Stochastic Differental Equations
Semilinear Partial Dif- ferential Equations
Probabilistic representation of PDEs 2010 AMS-classification: 60H10
60H30
60J60
35K58
35C99
Cited literature [36 references]
https://hal.archives-ouvertes.fr/hal-01895210
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Thursday, October 10, 2019 - 6:37:35 PM
Last modification on : Wednesday, November 17, 2021 - 12:31:55 PM
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Thursday, October 10, 2019 - 6:37:35 PM
Last modification on : Wednesday, November 17, 2021 - 12:31:55 PM
Files
Final_MPRF_LOR9oct2019.pdf
Files produced by the author(s)