Existence and uniqueness of bounded weak solutions of a semilinear parabolic PDE

DOI10.1007/S10959-009-0252-4MaRDI QIDQ616266zbMATH OpenOpenAlexFDO

Authors Qikang Ran, Tu-Sheng Zhang

Publication date 7 January 2011

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-009-0252-4

zbMATH Keywords

backward stochastic differential equationsquadratic growthbounded weak solutionssemilinear second-order parabolic equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• Solvability of backward stochastic differential equations with quadratic growth
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Weak solutions for SPDE's and backward doubly stochastic differential equations

Cited in

(13)

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• Existence and uniqueness of bounded weak solutions for some nonlinear parabolic problems
• Existence and uniqueness of a weak solution to the initial mixed boundary value problem for quasilinear elliptic-parabolic equations
• scientific article; zbMATH DE number 5863581 (Why is no real title available?)
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• Existence and uniqueness of solutions for a class of semilinear parabolic PDEs with non-Lipschitz coefficients
• Option prices under liquidity risk as weak solutions of semilinear diffusion equations
• Continuity of the Feynman-Kac formula for a generalized parabolic equation
• Existence of a weak solution for a parabolic initial-boundary-value problem in an unbounded domain in the class of rapidly increasing functions
• On the relationship between viscosity and distribution solutions for nonlinear Neumann type PDEs: the probabilistic approach

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