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 language | English |
|---|---|
| Pages (from-to) | 201-253 |
| Number of pages | 53 |
| Journal | Forum Mathematicum |
| Volume | 27 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 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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