A probabilistic interpretation of the divergence and BSDE's.

DOI10.1016/S0304-4149(02)00179-5zbMath1075.60544MaRDI QIDQ2574533

Ion Lucretiu Stoica

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

nonlinear parabolic equationsbackward stochastic differential equationsDirichlet spacesforward-backward martingale decompositiondivergence form elliptic operators

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (16)

Backward problems for stochastic differential equations on the Sierpinski gasket ⋮ A probabilistic approach to Neumann problems for elliptic PDEs with nonlinear divergence terms ⋮ On time-dependent functionals of diffusions corresponding to divergence form operators ⋮ Stochastic partial integral-differential equations with divergence terms ⋮ On the quasi-linear reflected backward stochastic partial differential equations ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ On the Feynman–Kac representation for solutions of the Cauchy problem for parabolic equations in divergence form ⋮ Stochastic partial differential equations with singular terminal condition ⋮ Quasilinear stochastic PDEs with two obstacles: probabilistic approach ⋮ BSDE AND GENERALIZED DIRICHLET FORMS: THE FINITE-DIMENSIONAL CASE ⋮ Large deviation principles of obstacle problems for quasilinear stochastic PDEs ⋮ The obstacle problem for quasilinear stochastic PDE's ⋮ On Stochastic Representation for Solutions of the Dirichlet Problem for Elliptic Equations in Divergence Form ⋮ A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE. ⋮ Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations ⋮ Neumann boundary problems for parabolic partial differential equations with divergence terms

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Dirichlet forms and symmetric Markov processes
• Stochastic representation of diffusions corresponding to divergence form operators
• Backward stochastic differential equations associated to a symmetric Markov process
• The limits of stochastic integrals of differential forms
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