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

DOI10.1080/07362990600753601MaRDI QIDQ5484533zbMATH OpenOpenAlexFDO

Authors Youssef Ouknine, Isabelle Turpin

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

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)

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Cites work

• Dirichlet forms and analysis on Wiener space
• 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)
• Generalized directional gradients, backward stochastic differential equations and mild solutions of semilinear parabolic equations
• Stochastic flows acting on Schwartz distributions
• Weak solutions for SPDE's and backward doubly stochastic differential equations

Cited in

(13)

• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
• Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
• Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
• 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
• 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 of semilinear PIDE's with obstacle(s) in Sobolev spaces and their probabilistic interpretation via the RFBSDE's with jumps and DRFBSDE's with jumps
• 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
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions

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