Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients (Q430972): Difference between revisions
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scientific article
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| English | Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients |
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Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients (English)
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26 June 2012
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The authors study a parabolic PDE on \(\mathbb{R}^{d}\) with coefficients satisfying a \(p\)-growth conditions on a weighted \(L^{p}\) space. First they prove an existence and uniqueness result for the corresponding backward stochastic differential equation, and then use it to establish the probabilistic representation of the weak solution of the original PDE.
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backward stochastic differential equations
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probabilistic representation of weak solution
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weak convergence
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compact embedding
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