Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
journal contributionposted on 22.09.2017, 11:11 by Chunrong Feng, Xince Wang, Huaizhong Zhao
In this paper, we study the existence, uniqueness and the probabilistic representation of the weak solutions of quasi-linear parabolic and elliptic partial differential equations (PDEs) in the Sobolev space H1ρ(Rd). For this, we study first the solutions of forward-backward stochastic differential equations (FBSDEs) with smooth coefficients, regularity of solutions and their connection with classical solutions of quasi-linear parabolic PDEs. Then using the approximation procedure, we establish their convergence in the Sobolev space to the solutions of the FBSDES in the space L2ρ(Rd; Rd) ⊗ L2ρ(Rd; Rk) ⊗ L2ρ(Rd; Rk×d). This gives a connection with the weak solutions of quasi-linear parabolic PDEs. Finally, we study the unique weak solutions of quasi-linear elliptic PDEs using the solutions of the FBSDEs on infinite horizon.
We would like to acknowledge the financial support of Royal Society Newton Advanced Fellowship NA150344.
- Mathematical Sciences