PROBABILISTIC-INTERPRETATION OF A SYSTEM OF QUASI-LINEAR ELLIPTIC PARTIAL-DIFFERENTIAL EQUATIONS UNDER NEUMANN BOUNDARY-CONDITIONS

被引：23

作者：

HU, Y

机构：

[1] Institut de Mathématiques et Informatique, Université Claude Bernard - Lyon I, Villeurbanne

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1993年 / 48卷 / 01期

关键词：

REFLECTING BROWNIAN MOTION; LOCAL TIME; BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; NEUMANN BOUNDARY CONDITION;

D O I：

10.1016/0304-4149(93)90109-H

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A probabilistic interpretation of a system of second order quasilinear elliptic partial differential equations under a Neumann boundary condition is obtained by introducing a kind of backward stochastic differential equations in the infinite horizon case. In the same time, a simple proof for the existence and uniqueness result of the classical solution of that Neumann problem is given.

引用

页码：107 / 121

页数：15

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