On the Feynman-Kac Formula

2019/04/27 by Rajeev, B
#60G51 #60H10 #60H15 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1904.12160

Abstract

In this article, given y :[0,η)→ H a continuous map into a Hilbert space H we study the equation y(t) = e^{∫₀tc(s, y)}y(t) where c(s,⋅) is a given `potential' on C([0,η),H). Applying the transformation y → y to the solutions of the SPDE and PDE underlying a diffusion, we study the Feynman-Kac formula.

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