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

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.

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Year of publication:	2014
Authors:	Wu, Zhen ; Yu, Zhiyong
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 12, p. 3921-3947
Publisher:	Elsevier
Subject:	Forward–backward stochastic differential equation \| Monotonicity condition \| Parabolic partial differential equation \| Viscosity solution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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