Smoothness of martingale observables and generalized Feynman-Kac formulas

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Authors: Alex Karrila, Lauri Viitasaari
Cited by: 0

Abstract

We prove that, under the Hörmander criterion on an Itô process, all its martingale observables are smooth. As a consequence, we also obtain a generalized Feynman-Kac formula providing smooth solutions to certain PDE boundary-value problems, while allowing for degenerate diffusions as well as boundary stopping (under very mild boundary regularity assumptions). We also highlight an application to a question posed on Schramm-Loewner evolutions, by making certain Girsanov transform martingales accessible via Itô calculus.

Fields of Study & Subjects

Stochastic processes and financial applications Stochastic processes and statistical mechanics Nonlinear Partial Differential Equations

Publication details

Journal / source
arXiv (Cornell University)
Publication date
15 January 2026
Document type
Preprint