A probabilistic interpretation of the divergence and BSDE's.

DOI10.1016/S0304-4149(02)00179-5zbMath1075.60544MaRDI QIDQ2574533

Ion Lucretiu Stoica

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

nonlinear parabolic equations; backward stochastic differential equations; Dirichlet spaces; forward-backward martingale decomposition; divergence form elliptic operators

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

BSDE AND GENERALIZED DIRICHLET FORMS: THE FINITE-DIMENSIONAL CASE, On the Feynman–Kac representation for solutions of the Cauchy problem for parabolic equations in divergence form, On time-dependent functionals of diffusions corresponding to divergence form operators, On the quasi-linear reflected backward stochastic partial differential equations, Stochastic partial differential equations with singular terminal condition, Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form, The obstacle problem for quasilinear stochastic PDE's, Backward problems for stochastic differential equations on the Sierpinski gasket, Quasilinear stochastic PDEs with two obstacles: probabilistic approach, Large deviation principles of obstacle problems for quasilinear stochastic PDEs, Stochastic partial integral-differential equations with divergence terms, Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations, A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE., On Stochastic Representation for Solutions of the Dirichlet Problem for Elliptic Equations in Divergence Form

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Dirichlet forms and symmetric Markov processes
• Stochastic representation of diffusions corresponding to divergence form operators
• Backward stochastic differential equations associated to a symmetric Markov process
• The limits of stochastic integrals of differential forms
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