Sobolev weak solutions for parabolic PDEs and FBSDEs
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Publication:1018123
DOI10.1016/j.crma.2009.03.002zbMath1177.35117MaRDI QIDQ1018123
Publication date: 13 May 2009
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2009.03.002
monotone coefficients; forward backward stochastic differential equation; quasilinear parabolic PDEs
35K55: Nonlinear parabolic equations
35R60: PDEs with randomness, stochastic partial differential equations
35K15: Initial value problems for second-order parabolic equations
Cites Work
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- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Backward-forward stochastic differential equations
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Weak Solutions of Semilinear PDEs in Sobolev Spaces and Their Probabilistic Interpretation via the FBSDEs
- Weak solutions for SPDE's and backward doubly stochastic differential equations