Article
Probabilistic Representation of Solutions for Quasi-Linear Parabolic Pde Via Fbsde with Reflecting Boundary Conditions
Author/s | Marín Rubio, Pedro
Real Anguas, José |
Department | Universidad de Sevilla. Departamento de Ecuaciones Diferenciales y Análisis Numérico |
Publication Date | 2010 |
Deposit Date | 2015-06-23 |
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Abstract | A probabilistic representation of the solution (in the viscosity sense) of a quasi-linear parabolic PDE system with non-lipschitz terms and a Neumann boundary condition is given via a fully coupled forward-backward stochastic ... A probabilistic representation of the solution (in the viscosity sense) of a quasi-linear parabolic PDE system with non-lipschitz terms and a Neumann boundary condition is given via a fully coupled forward-backward stochastic differential equation with a reflecting term in the forward equation. The extension of previous results consists on the relaxation on the Lipschitz assumption on the drift coefficient of the forward equation, using a previous result of the authors. |
Citation | Marín Rubio, P. y Real Anguas, J. (2010). Probabilistic Representation of Solutions for Quasi-Linear Parabolic Pde Via Fbsde with Reflecting Boundary Conditions. Boletín de la Sociedad Española de Matemática Aplicada, 51, 109-116. |
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