BSDE and generalized Dirichlet forms: the infinite dimensional case

DOI10.1515/FORUM-2012-0007zbMATH Open1305.31007arXiv1201.3186OpenAlexW2963569836MaRDI QIDQ487128FDOQ487128

Authors: Rong-Chan Zhu 

Publication date: 19 January 2015

Published in: Forum Mathematicum (Search for Journal in Brave)

Abstract: We consider the following quasi-linear parabolic system of backward partial differential equations on a Banach space $E$: $(partia{l}_t+L)u+f(cdot,cdot,u,A^{1/2}ablau)=0$ on $[0,T]imesE,qquad{u}_T=phi$, where $L$ is a possibly degenerate second order differential operator with merely measurable coefficients. We solve this system in the framework of generalized Dirichlet forms and employ the stochastic calculus associated to the Markov process with generator $L$ to obtain a probabilistic representation of the solution $u$ by solving the corresponding backward stochastic differential equation. The solution satisfies the corresponding mild equation which is equivalent to being a generalized solution of the PDE. A further main result is the generalization of the martingale representation theorem in infinite dimension using the stochastic calculus associated to the generalized Dirichlet form given by $L$. The nonlinear term $f$ satisfies a monotonicity condition with respect to $u$ and a Lipschitz condition with respect to $ablau$.

Full work available at URL: https://arxiv.org/abs/1201.3186

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zbMATH Keywords

Markov processesbackward stochastic differential equationsDirichlet formsquasi-linear parabolic partial differential equations

Mathematics Subject Classification ID

Dirichlet forms (31C25) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Cited In (4)

• Title not available (Why is that?)
• Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations
• Well-posedness of backward stochastic partial differential equations with Lyapunov condition
• Backward problems for stochastic differential equations on the Sierpinski gasket

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