Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs

DOI10.1214/EJP.V18-2467zbMath1292.35344arXiv1308.2173OpenAlexW2001146683MaRDI QIDQ389003

Adrian Zalinescu, Lucian Maticiuc, Khaled Bahlali

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2173

zbMATH Keywords

weak solutionbackward stochastic differential equationspenalization methodJakubowski \(S\)-topologyreflecting stochastic differential equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)

Related Items (4)

Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients ⋮ One dimensional BSDEs with logarithmic growth application to PDEs ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition

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