Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations

DOI10.1007/s10958-013-1155-6zbMath1272.35070OpenAlexW2157808590MaRDI QIDQ357232

Yana I. Belopolskaya, Wojbor A. Woyczyński

Publication date: 30 July 2013

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-013-1155-6

zbMATH Keywords

forward-backward stochastic differential equations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Initial value problems for second-order parabolic systems (35K45) Viscosity solutions to PDEs (35D40)

Related Items (4)

Probabilistic interpretation of the Cauchy problem for systems of nonlinear parabolic equations ⋮ Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems ⋮ Probabilistic interpretations of quasilinear parabolic systems ⋮ Probabilistic Counterparts for Strongly Coupled Parabolic Systems

Cites Work

• Adapted solution of a backward stochastic differential equation
• Continuous-time stochastic control and optimization with financial applications
• Forward-backward stochastic differential equations and their applications
• Solution of forward-backward stochastic differential equations
• Second-order backward stochastic differential equations and fully nonlinear 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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