A note on probabilistic interpretation for quasilinear mixed boundary problems

DOI10.1007/BF00133343MaRDI QIDQ1389950zbMATH OpenOpenAlexFDO

Authors Deng Ding

Publication date 14 July 1998

Published in Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00133343

zbMATH Keywords

backward stochastic differential equations

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• Adapted solution of a backward stochastic differential equation
• scientific article; zbMATH DE number 3507496 (Why is no real title available?)
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Stochastic differential equations with reflecting boundary conditions

Cited in

(3)

• Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
• Probabilistic interpretation for integral-partial differential equations with subdifferential operator
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)

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