Probabilistic Counterparts of Nonlinear Parabolic Partial Differential Equation Systems

DOI10.1007/978-3-319-03512-3_5zbMath1325.60114OpenAlexW989254150MaRDI QIDQ2946086

Yana I. Belopolskaya

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_5

zbMATH Keywords

viscosity solutionCauchy problemquasilinear parabolic equationsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40) Quasilinear parabolic equations (35K59)

Related Items (5)

Probabilistic interpretation of the Cauchy problem for systems of nonlinear parabolic equations ⋮ Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations ⋮ Probabilistic models of the conservation and balance laws in switching regimes ⋮ Systems of Nonlinear Backward and Forward Kolmogorov Equations: Generalized Solutions ⋮ Probabilistic interpretations of quasilinear parabolic systems

Cites Work

• Adapted solution of a backward stochastic differential equation
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
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