Stochastic Representation of Weak Solutions of Viscous Conservation Laws: A BSDE Approach

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作者
Andrzej Rozkosz
机构
[1] Nicolaus Copernicus University,Faculty of Mathematics and Computer Science
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Backward stochastic differential equation; Viscous conservation law; Weak solution; Feynman–Kac formula; 60H99; 35K58;
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摘要
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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页码:1061 / 1083
页数:22
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