On Stochastic Representation for Solutions of the Dirichlet Problem for Elliptic Equations in Divergence Form

被引:1
作者
Rozkosz, Andrzej [1 ]
机构
[1] Nicholas Copernicus Univ, Fac Math & Comp Sci, PL-87100 Torun, Poland
关键词
Backward stochastic differential equation; Dirichlet problem; Divergence form operator; Feynman-Kac formula; BSDES;
D O I
10.1080/07362990802558238
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We provide a stochastic representation of weak solutions of the Dirichlet problem for general second-order uniformly elliptic linear equations in divergence form. The representation is given in terms of solutions of some generalized linear backward stochastic differential equation associated with the problem and may be considered as a generalization of the Feynman-Kac formula.
引用
收藏
页码:1 / 15
页数:15
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