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Representation Formula for Viscosity Solutions to Parabolic PDEs with Sublinear Operators

Published 16 Jul 2019 in math.AP | (1907.07104v2)

Abstract: We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be seen as a nonlinear extension of the Feynman--Kac formula and is based on the backward stochastic differential equations theory.

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