Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations

zbMath1355.60089arXiv1504.03882MaRDI QIDQ2954464

Francesco Russo, Nadia Oudjane, Anthony Le Cavil

Publication date: 13 January 2017

Full work available at URL: https://arxiv.org/abs/1504.03882

zbMATH Keywords

nonlinear partial differential equationsprobabilistic representationsWasserstein-type distancenonlinear McKean-type stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Heat and other parabolic equation methods for PDEs on manifolds (58J35) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

Related Items (14)

Probabilistic Representation for Solutions to Nonlinear Fokker--Planck Equations ⋮ Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations ⋮ Stochastic model of chemotaxis in system of two populations ⋮ McKean SDEs with singular coefficients ⋮ A stochastic approach to the Cauchy-Neumann problem for systems of nonlinear parabolic equations ⋮ Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations ⋮ Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations ⋮ Markov processes and magneto-hydrodynamics equations ⋮ Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations ⋮ Stochastic models for forward systems of nonlinear parabolic equations ⋮ Systems of Nonlinear Backward and Forward Kolmogorov Equations: Generalized Solutions ⋮ Fokker-Planck equations with terminal condition and related McKean probabilistic representation ⋮ A Probabilistic Interpretation of Conservation and Balance Laws ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Probabilistic representation for solutions of an irregular porous media type equation
• Multidimensional diffusion processes.

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