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 Stochastic Differental Equations
Semilinear Partial Differential Equations
McKean Feynman-Kac equation
Probabilistic representation of PDEs
and phrases McKean Stochastic Differental Equations
Semilinear Partial Dif- ferential Equations
Probabilistic representation of PDEs 2010 AMS-classification: 60H10
Origin : Files produced by the author(s)
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