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Representation Formula for Viscosity Solutions to a class of Nonlinear Parabolic PDEs

Published 22 Jun 2021 in math.AP | (2106.11671v1)

Abstract: We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). 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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