An approximation result for a nonlinear Neumann boundary value problem via BSDEs (Q2485812)

Let \(D\) be a regular convex, bounded domain in \(R^{d}\) and \(A\) a second-order differential operator generating some diffusion process \(X\) with drift coefficient \(b(x)\). \textit{P.-L. Lions, J.-L. Menaldi} and \textit{A.-S. Sznitman} [C. R. Acad. Sci., Paris, Sér. I 292, 559--562 (1981; Zbl 0468.60073)] proved that the penalized diffusion process \(X^{n}\) starting in \(\overline{D}\) and with drift coefficient \(b(x)-n\delta (x)\) (\(\delta\) is some penalization factor) converges in \(L^{p}\) to a \(\overline{D}\)-valued diffusion process \(X\) normally reflected at the boundary of \(D\). Translated with the help of the Feynman-Kac formula into partial differential equations (PDE) this shows that the unique solution \(u\) of the Neumann problem \[ \frac{\partial}{\partial t}u+Lu=0\text{ on }[0,T]\times D,\quad u(0,x)=u_{0}(x),x\in D,\quad\frac{\partial}{\partial n}u=0\text{ on }[0,T]\times \partial D, \] can be obtained as the limit of solutions \(u^{n}\) of the associated Cauchy problem on \([0,T]\times R^{d}\) with second-order operator \(A-n\delta(x)\nabla\).\ The authors of the present paper extend this approximation result to semilinear PDEs with the nonlinear boundary condition \(\frac{\partial}{\partial n}u(t,x)+h(t,x,u(t,x))=0\), \((t,x)\in[ 0,T]\times\partial D\), satisfying Lipschitz as well as growth conditions.\ For this they use the stochastic interpretation of the solution of the approximating penalized semilinear PDE with the help of the associated backward stochastic differential equation (BSDE), and they prove the weak convergence of the solutions of these BSDEs in the Skorokhod space \(D([0,T];R^{d})\) endowed with the \(S\)-topology.