Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems

DOI10.1007/S10958-014-2183-6MaRDI QIDQ906002zbMATH OpenOpenAlexFDO

Authors Yana Belopolskaya

Publication date 28 January 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-014-2183-6

zbMATH Keywords

quasilinear parabolic equationsviscosity solutionsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Comparison principles in context of PDEs (35B51) Viscosity solutions to PDEs (35D40) Initial value problems for second-order parabolic systems (35K45) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• scientific article; zbMATH DE number 1121855 (Why is no real title available?)
• FUNCTIONAL INTEGRALS CONNECTED WITH OPERATOR EVOLUTION EQUATIONS
• Functional Integration and Partial Differential Equations. (AM-109)
• Multi-dimensional reflected backward stochastic differential equations and the comparison theorem
• On certain systems of parabolic equations
• On the comparison theorem for multidimensional BSDEs
• Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
• Probabilistic approaches to nonlinear parabolic equations in jet-bundles
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(8)

• Systems of quasilinear parabolic equations in \(\mathbb{R}^n\) and systems of quadratic backward stochastic differential equations
• Probabilistic models of the conservation and balance laws in switching regimes
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Probabilistic model for the Lotka-Volterra system with cross-diffusion
• Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
• Smoothing of quasilinear parabolic operators and applications to forward-backward stochastic systems
• Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
• Probabilistic counterparts of nonlinear parabolic partial differential equation systems

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