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Joscha Diehl; Peter K. Friz; Wilhelm Stannat
Stochastic partial differential equations: a rough paths view on weak solutions via Feynman–Kac
Annales de la faculté des sciences de Toulouse Sér. 6, 26 no. 4 (2017), p. 911-947, doi: 10.5802/afst.1556
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Class. Math.: 60H15
Keywords: stochastic partial differential equations, Zakai equation, Feynman–Kac formula, rough partial differential equations, rough paths

Résumé - Abstract

We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on RPDEs, our definition gives honest meaning to RPDEs as integral equations, based on which we are able to obtain existence, uniqueness and stability results. The case of weak “rough” forward equations, may be seen as robustification of the (measure-valued) Zakai equation in the rough path sense. Feynman–Kac representation for RPDEs, in formal analogy to similar classical results in SPDE theory, play an important role.

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