Representation theorems for SPDEs via backward doubly

Auguste Aman (Université Félix H. Boigny de Cocody-Abidjan)
Abouo Elouaflin (Université Félix H. Boigny de Cocody-Abidjan)
Mamadou Abdoul Diop (Université Gaston Berger de Saint Louis)


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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Pages: 1-15

Publication Date: July 25, 2013

DOI: 10.1214/ECP.v18-2223


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