PDE Generators from Energy Space Structure in Feynman-Kac Theory
Abstract
The operator factorization framework for stochastic calculus defines an operator derivative D_X via adjointness to the stochastic integral, with energy function Gamma^X(t) = ||Pi D_X X_t||^2 replacing classical quadratic variation. This paper asks: what does the energy space H determine about the PDE structure of conditional expectations? The answer is a structural principle, not a proof technique. For Gaussian processes, Gamma^X(t) = R(t,t) is deterministic, and the marginal density PDE has coefficient (1/2) d/dt Gamma^X(t). This recovers classical diffusion operators for Brownian motion and time-dependent diffusivities for fractional Brownian motion, and proves that continuous Gaussian memory can only scale the time derivative — never producing a spatial fractional operator. For iterated Brownian motion, the tensor-product energy space produces a biharmonic generator; we derive the complete distributional PDE: the time derivative of p equals (1/8) times the fourth spatial derivative of p, plus a local-time source term concentrated at the origin. For Levy processes, the jump energy space L^2(dt x nu) produces nonlocal operators including the fractional Laplacian. Every PDE derived in this paper can also be obtained by direct methods — density calculations for Gaussian processes, conditional analysis and Fourier methods for iterated Brownian motion, compensator calculations for Levy processes. The operator framework does not replace these proofs; it explains, after the fact, why each energy space produces its particular PDE structure. The genuine proof-mechanical contributions of the operator factorization program — including the cylindrical reduction principle, the Leibniz obstruction for stochastic volatility, and the representability obstruction for jump processes — are developed in the companion papers. The present paper serves as the PDE-side application: it shows that the energy space classification has concrete analytical consequences.
Fields of Study & Subjects
Stochastic processes and financial applications
Fractional Differential Equations Solutions
Stochastic processes and statistical mechanics
Publication details
- Journal / source
- Zenodo (CERN European Organization for Nuclear Research)
- Publication date
- 15 January 2026
- Language
- EN
- Document type
- Preprint