Probabilistic counterparts for strongly coupled parabolic systems

DOI10.1007/978-1-4939-2104-1_5MaRDI QIDQ5261304zbMATH OpenOpenAlexFDO

Authors Yana Belopolskaya

Publication date 3 July 2015

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

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)

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.

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Cites work

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Cited in

(5)

• Probabilistic interpretations of quasilinear parabolic systems
• Probabilistic model for the Lotka-Volterra system with cross-diffusion
• Markov processes associated with fully nondiagonal systems of parabolic equations
• Stochastic models for forward systems of nonlinear parabolic equations
• Probabilistic models of the conservation and balance laws in switching regimes

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