Feynman-Kac formula under a finite entropy condition - Archive ouverte HAL
Article Dans Une Revue Probability Theory and Related Fields Année : 2022

Feynman-Kac formula under a finite entropy condition

Christian Léonard

Résumé

Motivated by entropic optimal transport, we investigate an extended notion of solution to the parabolic equation $( \partial_t + b\cdot \nabla + \Delta _{ a}/2+V)g=0$ with a final boundary condition. It is well-known that the viscosity solution $g$ of this PDE is represented by the Feynman-Kac formula when the drift $b$, the diffusion matrix $a$ and the scalar potential $V$ are regular enough and not growing too fast. In this article, $b $ and $V$ are not assumed to be regular and their growth is controlled by a finite entropy condition, allowing for instance $V $ to belong to some Kato class. We show that the Feynman-Kac formula represents a solution to the parabolic equation, in an extended sense. This notion of solution is trajectorial and expressed with the semimartingale extension of the Markov generator $ b\cdot \nabla + \Delta _{ a}/2$. Our probabilistic approach relies on stochastic derivatives, semimartingales, Girsanov's theorem and the Hamilton-Jacobi-Bellman equation satisfied by $\log g$.
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Dates et versions

hal-03206495 , version 1 (23-04-2021)
hal-03206495 , version 2 (02-09-2022)

Identifiants

Citer

Christian Léonard. Feynman-Kac formula under a finite entropy condition. Probability Theory and Related Fields, 2022, 184, pp.1029-1091. ⟨10.1007/s00440-022-01155-8⟩. ⟨hal-03206495v2⟩
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