SeMA Journal

, Volume 51, Issue 1, pp 109–116

Probabilistic representation of solutions for quasi-linear parabolic PDE via FBSDE with reflecting boundary conditions

Actas del NSDS09


A probabilistic representation of the solution (in the viscosity sense) of a quasi-linear parabolic PDE system with non-lipschitz terms and a Neumann boundary condition is given via a fully coupled forward-backward stochastic differential equation with a reflecting term in the forward equation. The extension of previous results consists on the relaxation on the Lipschitz assumption on the drift coefficient of the forward equation, using a previous result of the authors.

Key words

Probabilistic formulae for PDE Forward backward stochastic differential equations Skorokhod problem Reflected Stochastic Differential Equations 

AMS subject classifications

60H10 35K55 60J60 60K25 


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Copyright information

© Sociedad Española de Matemática Aplicada 2010

Authors and Affiliations

  1. 1.Dpto. Ecuaciones Diferenciales y Análisis NuméricoUniversidad de SevillaSevillaSpain

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