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

DOI10.1016/J.SPA.2015.09.011zbMATH Open1384.60086arXiv1309.4935OpenAlexW2140318509MaRDI QIDQ901303FDOQ901303

Authors: Lucian Maticiuc, Aurel Răşcanu 

Publication date: 23 December 2015

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

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.

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

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zbMATH Keywords

Feynman-Kac formulareflected diffusion processescontinuity w.r.t. initial dataNeumann-Dirichlet boundary conditions

Mathematics Subject Classification ID

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

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Cited In (4)

• New characterizations of the \(S\) topology on the Skorokhod space
• \(L^p\)-variational solutions of multivalued backward stochastic differential equations
• Continuity of the Feynman-Kac formula for a generalized parabolic equation
• On the relationship between viscosity and distribution solutions for nonlinear Neumann type PDEs: the probabilistic approach

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