Probabilistic interpretation of a system of semi-linear parabolic partial differential equations

被引：37

作者：

Pardoux, E

Pradeilles, F

Rao, ZS

机构：

[1] ENSAE,F-31055 TOULOUSE,FRANCE

[2] UNIV S FLORIDA,DEPT MATH,TAMPA,FL 33620

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1997年 / 33卷 / 04期

关键词：

system of parabolic partial differential equations; backward stochastic differential equation; viscosity solution;

D O I：

10.1016/S0246-0203(97)80101-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We obtain a probabilistic interpretation for systems of second order nonlinear parabolic partial differential equations by using a backward stochastic differential equation associated to a diffusion-transmutation process.

引用

页码：467 / 490

页数：24

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