Probabilistic representation of a class of non-conservative nonlinear partial differential equations
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nonlinear McKean-type stochastic differential equationsnonlinear partial differential equationsprobabilistic representationsWasserstein-type distance
Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Heat and other parabolic equation methods for PDEs on manifolds (58J35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)
Abstract: We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under various assumptions. We propose an original interacting particle system for which we discuss the propagation of chaos. To this system, we associate a random function which is proved to converge to a solution of a regularized version of PDE.
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Cites work
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- scientific article; zbMATH DE number 1054244 (Why is no real title available?)
- scientific article; zbMATH DE number 1478492 (Why is no real title available?)
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Cited in
(19)- The McKean martingale for the homogeneous \(R\)-\(D\)-systems
- Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
- Stochastic models for forward systems of nonlinear parabolic equations
- Fokker-Planck equations with terminal condition and related McKean probabilistic representation
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations
- Markov processes and magneto-hydrodynamics equations
- Stochastic model of chemotaxis in system of two populations
- Probabilistic representation for solutions to nonlinear Fokker-Planck equations
- Systems of nonlinear backward and forward Kolmogorov equations: generalized solutions
- A probabilistic interpretation of conservation and balance laws
- Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations
- Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
- McKean SDEs with singular coefficients
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- Stochastic Model of the Cauchy–Neumann Problem for Nonlinear Parabolic Equations
- Stochastic model of the Cauchy-Robin problem for systems of nonlinear parabolic equations
- On nonlinear Markov processes in the sense of McKean
- A probabilistic representation for the solutions to some non-linear PDEs using pruned branching trees
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