Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients

DOI10.1007/S10959-011-0350-YMaRDI QIDQ430972zbMATHOpenAlexFDO

Authors Huaizhong Zhao, Qi Zhang

Publication date 26 June 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.1148

zbMATH Keywords

weak convergencebackward stochastic differential equationscompact embeddingprobabilistic representation of weak solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Solutions to PDEs in closed form (35C05) Weak solutions to PDEs (35D30) Initial value problems for second-order parabolic equations (35K15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper we develop a new weak convergence and compact embedding method to study the existence and uniqueness of the $L_{ho}^2(mathbb{R}^d;mathbb{R}^1)otimes{L}_{ho}^2(mathbb{R}^d;mathbb{R}^d)$ valued solution of backward stochastic differential equations with p-growth coefficients. Then we establish the probabilistic representation of the weak solution of PDEs with p-growth coefficients via corresponding BSDEs.

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Cited in

(11)

• A study of backward stochastic differential equation on a Riemannian manifold
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
• SPDEs with polynomial growth coefficients and the Malliavin calculus method
• A PDE with drift of negative Besov index and linear growth solutions.
• Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
• Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
• Backward doubly stochastic differential equations with polynomial growth coefficients
• Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
• BSDEs with polynomial growth generators in a defaultable market
• On the relationship between viscosity and distribution solutions for nonlinear Neumann type PDEs: the probabilistic approach

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