Title of article :
A probabilistic interpretation of the divergence and BSDEʹs
Author/Authors :
Stoica، نويسنده , , I.L.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Pages :
25
From page :
31
To page :
55
Abstract :
We prove a stochastic representation, similar to the Feynman–Kac formula, for solutions of parabolic equations involving a distribution expressed as divergence of a measurable field. This leads to an extension of the method of backward stochastic differential equations to a class of nonlinearities larger than the usual one.
Keywords :
Non-linear parabolic equations , Dirichlet spaces , Backward stochastic differential equations , Forward–backward martingale decomposition , Divergence form elliptic operators
Journal title :
Stochastic Processes and their Applications
Serial Year :
2003
Journal title :
Stochastic Processes and their Applications
Record number :
1577155
Link To Document :
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