Question: stochastic problem boundary problem. Maybe I should figure out dz first, but how? Exercise 5.12 Consider the following boundary value problem in the domain [0,T]

stochastic problem boundary problem. Maybe I should figure out dz first, but how?

Exercise 5.12 Consider the following boundary value problem in the domain [0,T] X R. (9F 3F 1 (PF | ,u(t,:r)a | o2(t,;1:) l T(t,;1:)F : 0, a: at 635:2 F(T,$) : @(gr). Here #05, :13), 0(t, 3:), r05, :17) and @(gr) are assumed to be known functions. Prove that this problem has a stochastic representation formula of the form F(t, 2:) : Em: [(XT)eLTT(SsXa)dS] , by considering the process ZS : F (s,Xs) >

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