Weak Solutions of Semilinear PDEs in Sobolev Spaces and Their Probabilistic Interpretation via the FBSDEs

DOI10.1080/07362990600753601zbMATH Open1128.35109OpenAlexW1966552233MaRDI QIDQ5484533FDOQ5484533

Isabelle Turpin, Youssef Ouknine

Publication date: 21 August 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600753601

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zbMATH Keywords

backward stochastic differential equationweighted Sobolev spacesemilinear parabolic PDESobolev solutionforward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Dirichlet forms and analysis on Wiener space
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Stochastic flows acting on Schwartz distributions
• Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations
• Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener. (General Dirichlet forms and density of real random variables on Wiener space)

Cited In (10)

• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
• Interior gradient and Hessian estimates for the Dirichlet problem of semi-linear degenerate elliptic systems: a probabilistic approach
• Classical and weak solutions of the partial differential equations associated with a class of two-point boundary value problems
• WEAK SOLUTIONS OF SEMILINEAR PDEs WITH OBSTACLE(S) IN SOBOLEV SPACES AND THEIR PROBABILISTIC INTERPRETATION VIA THE RFBSDEs AND DRFBSDEs
• Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator
• Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
• Sobolev weak solutions for parabolic PDEs and FBSDEs
• Weak solutions and a Yamada–Watanabe theorem for FBSDEs
• The obstacle problem for semilinear parabolic partial integro-differential equations
• Backward stochastic differential equations associated to a symmetric Markov process

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