On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem

DOI10.1016/J.SPA.2015.09.011MaRDI QIDQ901303zbMATH OpenOpenAlexFDO

Authors Lucian Maticiuc, Aurel Răşcanu

Publication date 23 December 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.4935

zbMATH Keywords

continuity w.r.t. initial dataFeynman-Kac formulaNeumann-Dirichlet boundary conditionsreflected diffusion processes

Mathematics Subject Classification ID

Solutions to PDEs in closed form (35C05) Viscosity solutions to PDEs (35D40) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Abstract: In this article we prove the continuity of the deterministic function $$, defined by $u(t,x):=Y_t^{t,x}$, where the process $(Y_s^{t,x}{)}_{sin[t,T]}$ is given by the generalized multivalued backward stochastic differential equation: �egin{equation*} left{ �egin{array}{l} -dY_{s}^{t,x}+partial varphi(Y_{s}^{t,x})ds+partialpsi(Y_{s}^{t,x})dA_{s}^{t,x} i f(s,X_{s}^{t,x},Y_{s}^{t,x})ds \ ;;;;;;;;;;;;;;;;;;;+g(s,X_{s}^{t,x},Y_{s}^{t,x})dA_{s}^{t,x}-Z_{s}^{t,x}dW_{s}~,;tleq s < T, \ {Y_{T}=h(X_{T}^{t,x}).} end{array} ight. end{equation*} The process $(X_s^{t,x},A_s^{t,x}{)}_{sgeqt}$ is the solution of a stochastic differential equation with reflecting boundary conditions.

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Cited in

(5)

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