Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
DOI10.1007/S10958-017-3490-5zbMATH Open1377.35133OpenAlexW2743243934MaRDI QIDQ1683201FDOQ1683201
Authors: E. I. Nemchenko, Yana Belopolskaya 
Publication date: 6 December 2017
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10958-017-3490-5
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Cites Work
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- On the Product of Semi-Groups of Operators
- User’s guide to viscosity solutions of second order partial differential equations
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- The probability approach to numerical solution of nonlinear parabolic equations
- Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
- Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems
- Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
- On product formulas for nonlinear semigroups
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Cited In (3)
- Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
- Probabilistic algorithms for numerical construction of classical solutions to the Cauchy problem for nonlinear parabolic systems
- A Probabilistic Approach to a Solution of Nonlinear Parabolic Equations
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