Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions

Ying Hu

Stochastic Processes and their Applications, 1993, vol. 48, issue 1, 107-121

Abstract: A probabilistic interpretation of a system of second order quasilinear elliptic partial differential equations under a Neumann boundary condition is obtained by introducing a kind of backward stochastic differential equations in the infinite horizon case. In the same time, a simple proof for the existence and uniqueness result of the classical solution of that Neumann problem is given.

Keywords: reflecting; Brownian; motion; local; time; backward; stochastic; differential; equation; Neumann; boundary; condition (search for similar items in EconPapers)
Date: 1993
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