Weak solutions for SPDE's and backward doubly stochastic differential equations (Q5937300): Difference between revisions

The authors give a probabilistic interpretation of Sobolev space-valued solutions of parabolic semilinear stochastic partial differential equations (SPDE) in terms of backward doubly stochastic differential equations (BDSDE). BDSDE have been introduced by \textit{E. Pardoux} and \textit{S. Peng} [Probab. Theory Relat. Fields 98, No. 2, 209-227 (1994; Zbl 0792.60050)] by generalization of backward stochastic differential equations [for short, BSDE; see \textit{E. Pardoux} and \textit{S. Peng}, Syst. Control Lett. 14, No. 1, 55-61 (1990; Zbl 0692.93064)]. While Pardoux and Peng have used BSDE to give a stochastic representation of the viscosity solution of parabolic semilinear partial differential equations (PDE), and BDSDE to describe the classical solution of semilinear SPDE, \textit{G. Barles} and \textit{E. Lesigne} [in: Backward stochastic differential equations. Pitman Res. Notes Math. Ser. 364, 47-80 (1997; Zbl 0886.60049)] have proved for PDE in variational formulation the same stochastic interpretation using BSDE. The key elements in the paper are the results of Pardoux and Peng on BDSDE, the theory of stochastic flows [cf. \textit{H. Kunita}, J. Theor. Probab. 7, No. 2, 247-278 (1994; Zbl 0818.60044) and ibid. 7, No. 2, 279-308 (1994; Zbl 0802.60056)], in particular, the composition of a tempered distribution with a stochastic flow.