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BSDE and generalized Dirichlet forms: The infinite dimensional case

  • Bielefeld University

Research output: Contribution to journal › Article › peer-review

Abstract

We consider the following quasi-linear parabolic system of backward partial differential equations on a Banach space E: (∂t + L)u + f(·, ·, u; A1/2∇u) = 0 on [0, T] × E, uT = φ, where L is a possibly degenerate second-order differential operator with merely measurable coefficients. We solve this system in the framework of generalized Dirichlet forms and employ the stochastic calculus associated to the Markov process with generator L to obtain a probabilistic representation of the solution u by solving the corresponding backward stochastic differential equation. The solution satisfies the corresponding mild equation which is equivalent to being a generalized solution to the PDE. A further main result is the generalization of the martingale representation theorem in infinite dimension using the stochastic calculus associated to the generalized Dirichlet form given by L. The non-linear term f satisfies a monotonicity condition with respect to u and a Lipschitz condition with respect to ∇u.

Original languageEnglish
Pages (from-to)201-253
Number of pages53
JournalForum Mathematicum
Volume27
Issue number1
DOIs
Publication statusPublished - 1 Jan 2015

Keywords

  • Backward stochastic differential equations
  • Dirichlet forms
  • Generalized Dirichlet forms
  • Kolmogorov equations
  • Markov processes
  • Martingale representation
  • Quasi-linear parabolic partial differential equations

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