Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations

Zhen Wu and Zhiyong Yu

Stochastic Processes and their Applications, 2014, vol. 124, issue 12, 3921-3947

Abstract: In this paper, we study a kind of system of second order quasilinear parabolic partial differential equation combined with algebra equations. Introducing a family of coupled forward–backward stochastic differential equations, and by virtue of some delicate analysis techniques, we give a probabilistic interpretation for it in the viscosity sense.

Keywords: Forward–backward stochastic differential equation; Monotonicity condition; Parabolic partial differential equation; Viscosity solution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2014.07.013

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