Representation Formula for Viscosity Solution to a PDE Problem involving Pucci's Extremal Operator
arXiv:2007.06520 · doi:10.1016/j.nonrwa.2020.103199
Abstract
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can be seen as a nonlinear extension of the Feynman-Kac formula.
arXiv comment17 pages