Abstract
Using White Noise Analysis, we construct a Feynman-Kac formula for the stochastic heat equation with anticipating initial conditions. The obtained solution has applications to nonlinear filtering and heat transport with noise.
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© 1996 Birkhäuser Boston
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Benth, F.E. (1996). A Generalized Feynman-Kac Formula for the Stochastic Heat Problem with Anticipating Initial Conditions. In: Körezlioğlu, H., Øksendal, B., Üstünel, A.S. (eds) Stochastic Analysis and Related Topics V. Progress in Probability, vol 38. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-2450-1_6
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DOI: https://doi.org/10.1007/978-1-4612-2450-1_6
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