A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
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Publication:2574637
DOI10.1016/J.SPA.2003.09.012zbMath1075.60070OpenAlexW1979148110MaRDI QIDQ2574637
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2003.09.012
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (13)
Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition ⋮ Weak existence and uniqueness for forward-backward SDEs ⋮ On time-dependent functionals of diffusions corresponding to divergence form operators ⋮ The Method of Chernoff Approximation ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations ⋮ BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion. ⋮ Stochastic differential equations driven by processes generated by divergence form operators I: a Wong-Zakai theorem ⋮ Feynman formulae and phase space Feynman path integrals for tau-quantization of some Lévy-Khintchine type Hamilton functions ⋮ Forward-backward SDEs with distributional coefficients ⋮ Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations ⋮ Existence and large-time asymptotics for solutions of semilinear parabolic systems with measure data ⋮ Obstacle problem for semilinear parabolic equations with measure data
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