Smoothness of martingale observables and generalized Feynman-Kac formulas
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