Probabilistic Counterparts for Strongly Coupled Parabolic Systems

DOI10.1007/978-1-4939-2104-1_5zbMATH Open1333.35356arXiv1606.02525OpenAlexW3100083697MaRDI QIDQ5261304FDOQ5261304

Yana Belopolskaya

Publication date: 3 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We extend the results of the FBSDE theory in order to construct a probabilistic representation of a viscosity solution to the Cauchy problem for a system of quasilinear parabolic equations. We derive a BSDE associated with a class of quailinear parabolic system and prove the existence and uniqueness of its solution. To be able to deal with systems including nondiagonal first order terms along with the underlying diffusion process we consider its multiplicative operator functional. We essentially exploit as well the fact that the system under consideration can be reduced to a scalar equation in a enlarged phase space. This allows to obtain some comparison theorems and to prove that a solution to FBSDE gives rise to a viscosity solution of the original Cauchy problem for a system of quasilinear parabolic equations.

Full work available at URL: https://arxiv.org/abs/1606.02525

zbMATH Keywords

stochastic equationsprobabilistic representationdistributional solutioncoupled nonlinear parabolic equationsKunita's theory of stochastic flows

Mathematics Subject Classification ID

Initial value problems for second-order parabolic systems (35K45) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (3)

• Probabilistic model for the Lotka-Volterra system with cross-diffusion
• Stochastic models for forward systems of nonlinear parabolic equations
• Probabilistic interpretations of quasilinear parabolic systems

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