Applied Mathematics and Mechanics (English Edition) ›› 1997, Vol. 18 ›› Issue (9): 857-864.

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A NOTE ON PROBABILISTIC INTERPRETATION FOR QUASILINEAR MIXED BOUNDARY PROBLEMS

丁灯   

  1. Faculty of Science and Technology, University of Macau, P. O. Box 3001, Macau; Department. of Mathematics Zhongshan University, Guangzhou 510725, P. R. China
  • 收稿日期:1996-03-05 出版日期:1997-09-18 发布日期:1997-09-18

A NOTE ON PROBABILISTIC INTERPRETATION FOR QUASILINEAR MIXED BOUNDARY PROBLEMS

Ding Deng   

  1. Faculty of Science and Technology, University of Macau, P. O. Box 3001, Macau; Department. of Mathematics Zhongshan University, Guangzhou 510725, P. R. China
  • Received:1996-03-05 Online:1997-09-18 Published:1997-09-18

摘要: Solutions of quasilinear mixed boundary problems for the some parabolic andelliptic partial differential equalions are interpreted as solutions of a kind of backwardstochastic differential equalions, which are associated with the classical Ito forwardstochastic differential equations with reflecting boundary conditions.

关键词: quasilinear partial differential equations, mixed boundary problems, stochastic differential equations, probabilistic interpretations

Abstract: Solutions of quasilinear mixed boundary problems for the some parabolic andelliptic partial differential equalions are interpreted as solutions of a kind of backwardstochastic differential equalions, which are associated with the classical Ito forwardstochastic differential equations with reflecting boundary conditions.

Key words: quasilinear partial differential equations, mixed boundary problems, stochastic differential equations, probabilistic interpretations

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