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Stochastic Representation of Weak Solutions of Viscous Conservation Laws: A BSDE Approach
被引:0
|作者:
Andrzej Rozkosz
机构:
[1] Nicolaus Copernicus University,Faculty of Mathematics and Computer Science
来源:
关键词:
Backward stochastic differential equation;
Viscous conservation law;
Weak solution;
Feynman–Kac formula;
60H99;
35K58;
D O I:
暂无
中图分类号:
学科分类号:
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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