PROBABILISTIC-INTERPRETATION OF A SYSTEM OF SEMILINEAR PARABOLIC PARTIAL-DIFFERENTIAL EQUATIONS

Authors
PARDOUX E PRADEILLES F RAO ZS
Citation
E. Pardoux et al., PROBABILISTIC-INTERPRETATION OF A SYSTEM OF SEMILINEAR PARABOLIC PARTIAL-DIFFERENTIAL EQUATIONS, Annales de l'I.H.P. Probabilites et statistiques, 33(4), 1997, pp. 467-490
Citations number
19
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annales de l'I.H.P. Probabilites et statistiques → ACNP
ISSN journal
02460203
Volume
33
Issue
4
Year of publication
1997
Pages
467 - 490
Database
ISI
SICI code
0246-0203(1997)33:4<467:POASOS>2.0.ZU;2-0
Abstract
We obtain a probabilistic interpretation for systems of second order n onlinear parabolic partial differential equations by using a backward stochastic differential equation associated to a diffusion-transmutati on process.