A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE
We extend some results on time-homogeneous processes generated by divergence form operators to time-inhomogeneous ones. These results concern the decomposition of such processes as Dirichlet process, with an explicit expression for the term of zero-quadratic variation. Moreover, we extend some results on the Itô formula and BSDEs related to weak solutions of PDEs, and we study the case of quasi-linear PDEs. Finally, our results are used to prove the existence of weak solutions to forward-backward stochastic differential equations.
Year of publication: |
2004
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Authors: | Lejay, Antoine |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 110.2004, 1, p. 145-176
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Publisher: |
Elsevier |
Keywords: | Quasi-linear PDE Divergence form-operator Forward-backward stochastic differential equation Time reversal of a diffusion Dirichlet process |
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