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A representation formula for viscosity solutions to PDE problems with sublinear operators

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Dipartimento di Matematica Guido Castelnuovo, Sapienza Università di Roma

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Sala di Consiglio
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Marco Pozza (Sapienza Università di Roma)

We provide a representation formula for viscosity solutions to a nonlinear second order parabolic PDE problem with sublinear operators. This is done through a dynamic programming principle which is a generalization of the one given by Denis, Hu and Peng. It can be seen as a nonlinear extension of the Feynman-Kac formula.