Solutions of \(\Delta u=4u^2\) with Neumann's conditions using the Brownian snake (Q1434095)

The authors give a probabilistic representation for the nonnegative solution of the nonlinear Neumann problem in a bounded smooth domain \(D\): \(\Delta u=4u^{2}\) and \((\partial u/\partial n)+ \kappa u=\varphi\) on \(\partial D\). The underlying motion for this problem is a reflected Brownian motion \({\widetilde B}\) in \(D\). Their representation is based on a random measure \(Z\) built from the Brownian snake \(\{W_{s}\}\) with underlying process \({\widetilde B}\): \[ Z(dy)=\frac{1}{2}\int_{0}^{\infty}\delta_{{\widehat W}_{s}}(dy)\,dL_{s}. \] Here \({\widehat W}_{s}=W_{s}(\zeta_{s})\) is the end of the path \(W_{s}\), \(\zeta_{s}\) is the lifetime of the path \(W_{s}\) and \(dL_{s}\) is the infinitesimal increment of the local time of the path \(W_{s}\) on \(\partial D\) at time \(\zeta_{s}\) (\(\delta_{a}\) is the Dirac mass at point \(a\)). For instance, the authors prove that \(v(x)=N_{x}[1-\exp(-\int\varphi(y)Z(dy))]\) is a nonnegative solution of the Neumann problem with \(\kappa=0\) (here \(N_{x}\) is the excursion measure of the Brownian snake starting in \(x\)). The result is then extended to the general case of a continuous nonnegative function \(\kappa\). Properties and regularity of the measure \(Z\) are also studied. The probabilistic representation will lead to new results for the Neumann problem such as a trace boundary representation.