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 et al. (2010). The formula can be seen as a nonlinear extension of the Feynman–Kac formula.
Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator
Pozza M.
2021-01-01
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 et al. (2010). The formula can be seen as a nonlinear extension of the Feynman–Kac formula.File in questo prodotto:
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