Feynman-Kac formula with a bounded potential
ID: feynman-kac-formula-with-a-bounded-potential
For bounded and bounded initial data , a sufficiently regular classical solution bounded on every finite time slab satisfiesTo prove this, the Itô formula and Itô product rule make a local martingale. Its deterministic bound on makes it a true martingale; taking expectations at the two endpoints gives the formula. This also gives uniqueness in the finite-horizon bounded class. The exponent has the same sign as the potential in the equation.
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