Stochastic Representation of Weak Solutions of Viscous Conservation Laws: A BSDE Approach |
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Authors: | Andrzej Rozkosz |
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Affiliation: | 1. Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, ul. Chopina 12/18, 87–100, Toruń, Poland
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Abstract: | We consider the Cauchy problem for systems of viscous conservation laws. We obtain three different but related stochastic representations of weak solutions of the problem: in terms of solutions to systems of usual backward stochastic differential equations, in terms of solutions to some stochastic backward systems, and in terms of solutions to some forward-backward stochastic differential equations. |
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