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

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.

MoreLess

Year of publication:	1993
Authors:	Hu, Ying
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 48.1993, 1, p. 107-121
Publisher:	Elsevier
Keywords:	reflecting Brownian motion local time backward stochastic differential equation Neumann boundary condition

More details

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

Persistent link: https://www.econbiz.de/10008874374