On the well-posedness of a class of McKean Feynman-Kac equations
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2018
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| _version_ | 1866911790571454464 |
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| author | Lieber, Jonas Oudjane, Nadia Russo, Francesco |
| author_facet | Lieber, Jonas Oudjane, Nadia Russo, Francesco |
| contents | 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). |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1810_10205 |
| institution | arXiv |
| publishDate | 2018 |
| record_format | arxiv |
| spellingShingle | On the well-posedness of a class of McKean Feynman-Kac equations Lieber, Jonas Oudjane, Nadia Russo, Francesco Probability 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). |
| title | On the well-posedness of a class of McKean Feynman-Kac equations |
| topic | Probability |
| url | https://arxiv.org/abs/1810.10205 |