Abstract
This paper studies the differential equation ( ∂ ∂t ) u(t, x) = 1 2 trace A(t, x) D 2u(t, x) A ∗(t, x) + 〈σ(t, x), Du(t, x)〉 − V(x) u(t, x), u(0, x) = φ(x) in infinite dimensional space. A Kac's type representation of solution in terms of function space integral is proved. Kac's method is modified to work nicely regardless of the dimensionality.
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