Published June 23, 2015 | Version v1
Publication

Probabilistic Representation of Solutions for Quasi-Linear Parabolic Pde Via Fbsde with Reflecting Boundary Conditions

Description

A probabilistic representation of the solution (in the viscosity sense) of a quasi-linear parabolic PDE system with non-lipschitz terms and a Neumann boundary condition is given via a fully coupled forward-backward stochastic differential equation with a reflecting term in the forward equation. The extension of previous results consists on the relaxation on the Lipschitz assumption on the drift coefficient of the forward equation, using a previous result of the authors.

Additional details

Identifiers

URL
https://idus.us.es/handle/11441/25937
URN
urn:oai:idus.us.es:11441/25937