Representation Formula for Viscosity Solutions to Parabolic PDEs with Sublinear Operators
arXiv:1907.07104
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.
30 pages; revised section 2.2 and appendix B, results unchanged; added section 4