On the well-posedness of a class of McKean Feynman-Kac equations

Abstract : 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).
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Pré-publication, Document de travail
2018
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https://hal.archives-ouvertes.fr/hal-01895210
Contributeur : Francesco Russo <>
Soumis le : lundi 22 octobre 2018 - 19:00:04
Dernière modification le : mercredi 31 octobre 2018 - 09:09:40

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  • HAL Id : hal-01895210, version 1
  • ARXIV : 1810.10205

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Jonas Lieber, Nadia Oudjane, Francesco Russo. On the well-posedness of a class of McKean Feynman-Kac equations. 2018. 〈hal-01895210〉

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