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2013 Representation theorems for SPDEs via backward doubly
Auguste Aman, Abouo Elouaflin, Mamadou Diop
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Electron. Commun. Probab. 18: 1-15 (2013). DOI: 10.1214/ECP.v18-2223

Abstract

In this paper we establish a probabilistic representation for the spatial gradient ofthe viscosity solution to a quasilinear parabolic stochastic partial differential equations(SPDE, for short) in the spirit of the Feynman-Kac formula, without using thederivatives of the coefficients of the corresponding backward doubly stochastic differentialequations (FBDSDE, for short).

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Auguste Aman. Abouo Elouaflin. Mamadou Diop. "Representation theorems for SPDEs via backward doubly." Electron. Commun. Probab. 18 1 - 15, 2013. https://doi.org/10.1214/ECP.v18-2223

Information

Accepted: 25 July 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60206
MathSciNet: MR3084575
Digital Object Identifier: 10.1214/ECP.v18-2223

Subjects:
Primary: 60H15
Secondary: 60H20, 60H30

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