Feynman-Kac formula for iterated derivatives of the parabolic Anderson model

preprint2020arXivOpen access

Abstract

The purpose of this paper is to establish a Feynman-Kac formula for the moments of the iterated Malliavin derivatives of the solution to the parabolic Anderson model in terms of pinned Brownian motions. As an application, we obtain estimates for the moments of the iterated derivatives of the solution.

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