Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations |
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Authors: | Zhen Wu Zhiyong Yu |
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Institution: | School of Mathematics, Shandong University, Jinan 250100, China |
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Abstract: | In this paper, we study a kind of system of second order quasilinear parabolic partial differential equation combined with algebra equations. Introducing a family of coupled forward–backward stochastic differential equations, and by virtue of some delicate analysis techniques, we give a probabilistic interpretation for it in the viscosity sense. |
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Keywords: | 60H10 35K59 35C99 |
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