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The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs.
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Ma, J., and Zhang, J · 2002
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Peng, S · 2010
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Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces
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On existence and uniqueness properties for solutions of stochastic fixed point equations
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Beck, C., Hornung, F., Hutzenthaler, M., Jentzen, A., and Kruse, T · 2019
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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
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Hutzenthaler, M., Jentzen, A., and von Wurstemberger, P · 2019
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