BSDE and generalized Dirichlet forms: The infinite dimensional case
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Rong-Chan Zhu
Abstract
We consider the following quasi-linear parabolic system of backward partial differential equations on a Banach space E: (∂t + L)u + f(·,·,u, A1/2∇ u) = 0 on [0,T] × E, uT = φ, where L is a possibly degenerate second-order differential operator with merely measurable coefficients. We solve this system in the framework of generalized Dirichlet forms and employ the stochastic calculus associated to the Markov process with generator L to obtain a probabilistic representation of the solution u by solving the corresponding backward stochastic differential equation. The solution satisfies the corresponding mild equation which is equivalent to being a generalized solution to the PDE. A further main result is the generalization of the martingale representation theorem in infinite dimension using the stochastic calculus associated to the generalized Dirichlet form given by L. The non-linear term f satisfies a monotonicity condition with respect to u and a Lipschitz condition with respect to ∇u.
Funding source: 973 project, NSFC, key Lab of CAS, the DFG through IRTG 1132 and CRC 701
I would like to thank Professor Michael Röckner for valuable discussions and for suggesting associate BSDE's to generalized Dirichlet forms which was one motivation for this paper. I would also like to thank Professor Ma Zhiming and Zhu Xiangchan for their helpful discussions.
© 2015 by De Gruyter
Articles in the same Issue
- Frontmatter
- On the character degrees of Sylow p-subgroups of Chevalley groups G(pf) of type E
- Achievable sets in ℤn
- A criterion on oscillation and variation for the commutators of singular integral operators
- Some 𝐇1𝔉-groups with unbounded torsion and a conjecture of Kropholler and Mislin
- Goodwillie calculus and Whitehead products
- Computing Borel's regulator
- Applications of a transcendence criterion for reciprocal sums of binary linear recurrences
- BSDE and generalized Dirichlet forms: The infinite dimensional case
- Faithful representations of infinite-dimensional nilpotent Lie algebras
- Locally finitely presented categories with no flat objects
- A common generalization of metric, ultrametric and topological fixed point theorems
- Correction to A common generalization of metric, ultrametric and topological fixed point theorems [Forum Math. 27 (2015), 303–327]
- Erdős–Rényi graph, Szemerédi–Trotter type theorem, and sum-product estimates over finite rings
- Minimal support results for Schrödinger equations
- Dynamics for the focusing, energy-critical nonlinear Hartree equation
- A fixed point theorem for Lie groups acting on buildings and applications to Kac–Moody theory
- On effective determination of Maass forms from central values of Rankin–Selberg L-function
- On embedding left-ordered groups into division rings
- Conservation property of symmetric jump-diffusion processes
- Irreducible representations of Leavitt path algebras
- Commutators of elements of coprime orders in finite groups
- Endoscopy and the transfer from GSp(4) to GL(4)
- Cycles in Leavitt path algebras by means of idempotents
- On volumes determined by subsets of Euclidean space
Articles in the same Issue
- Frontmatter
- On the character degrees of Sylow p-subgroups of Chevalley groups G(pf) of type E
- Achievable sets in ℤn
- A criterion on oscillation and variation for the commutators of singular integral operators
- Some 𝐇1𝔉-groups with unbounded torsion and a conjecture of Kropholler and Mislin
- Goodwillie calculus and Whitehead products
- Computing Borel's regulator
- Applications of a transcendence criterion for reciprocal sums of binary linear recurrences
- BSDE and generalized Dirichlet forms: The infinite dimensional case
- Faithful representations of infinite-dimensional nilpotent Lie algebras
- Locally finitely presented categories with no flat objects
- A common generalization of metric, ultrametric and topological fixed point theorems
- Correction to A common generalization of metric, ultrametric and topological fixed point theorems [Forum Math. 27 (2015), 303–327]
- Erdős–Rényi graph, Szemerédi–Trotter type theorem, and sum-product estimates over finite rings
- Minimal support results for Schrödinger equations
- Dynamics for the focusing, energy-critical nonlinear Hartree equation
- A fixed point theorem for Lie groups acting on buildings and applications to Kac–Moody theory
- On effective determination of Maass forms from central values of Rankin–Selberg L-function
- On embedding left-ordered groups into division rings
- Conservation property of symmetric jump-diffusion processes
- Irreducible representations of Leavitt path algebras
- Commutators of elements of coprime orders in finite groups
- Endoscopy and the transfer from GSp(4) to GL(4)
- Cycles in Leavitt path algebras by means of idempotents
- On volumes determined by subsets of Euclidean space
