Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations

DOI10.1007/S10958-013-1155-6MaRDI QIDQ357232zbMATH OpenOpenAlexFDO

Authors Yana Belopolskaya, Wojbor A. Woyczyński

Publication date 30 July 2013

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-013-1155-6

zbMATH Keywords

forward-backward stochastic differential equations

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Initial value problems for second-order parabolic systems (35K45) Nonlinear parabolic equations (35K55)

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Cites work

• scientific article; zbMATH DE number 3651027 (Why is no real title available?)
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Continuous-time stochastic control and optimization with financial applications
• Forward-backward stochastic differential equations and their applications
• Probabilistic approaches to nonlinear parabolic equations in jet-bundles
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Solution of forward-backward stochastic differential equations
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(16)

• Probabilistic approaches to nonlinear parabolic equations in jet-bundles
• Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations
• Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach
• Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology
• Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems
• Probabilistic interpretation of the Cauchy problem for systems of nonlinear parabolic equations
• Probabilistic counterparts for strongly coupled parabolic systems
• Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
• Probabilistic approach for systems of second order quasi-linear parabolic PDEs
• scientific article; zbMATH DE number 2123434 (Why is no real title available?)
• A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions
• A Probabilistic Approach to a Solution of Nonlinear Parabolic Equations
• Probabilistic interpretations of quasilinear parabolic systems
• scientific article; zbMATH DE number 2213808 (Why is no real title available?)
• Probabilistic counterparts of nonlinear parabolic partial differential equation systems

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