Using a forward– backward stochastic differential equations (FBSDE) associated to a transmutation process driven by a finite sequence of Poisson processes, we obtain a probabilistic interpretation for a non-degenerate system of quasilinear parabolic partial differential equations (PDEs). The novetly is that the linear second order differential operator is different on each line of the system.

Quasi-linear parabolic equations are discretised in time by fully implicit backward difference formulae (BDF) as well as by implicit–explicit and linearly implicit BDF methods up to order 5. Under appropriate stability conditions for the various methods considered, we establish optimal order a priori error bounds by energy estimates, which become applicable via the Nevanlinna-Odeh multiplier te...

In this work, we present a novel error analysis for recovering spatially dependent diffusion coefficient in an elliptic or parabolic problem. It is based on the standard regularized output least-squares formulation with $H^1(\Omega)$ seminorm penalty and then discretized using Galerkin finite element method conforming piecewise linear elements both state backward Euler time case. We derive prio...

We study the homogenization property of systems of quasi-linear PDEs of parabolic type with periodic coefficients, highly oscillating drift and highly oscillating nonlinear term. To this end, we propose a probabilistic approach based on the theory of forward–backward stochastic differential equations and introduce the new concept of " auxiliary SDEs. " 1. Introduction and assumptions.

This paper provides a new formulation of second order stochastic target problems introduced in [19] by modifying the reference probability so as to allow for different scales. This new ingredient enables us to prove a dual formulation of the target problem as the supremum of the solutions of standard backward stochastic differential equations. In particular, in the Markov case, the dual problem...

In this paper, we solve two problems for some nonlinear SPDE driven by FiskStratonovich stoachastic integral. The main assumption is the commuting property of the drift and diffusion vector fields with respect of the Lie bracket. In the first problem (P1) we construct a classical solution for some nonlinear SPDE of parabolic type by assuming the compatibilty condition concerning the mentioned v...

We establish a Lipschitz stability estimate for the inverse problem consisting in the determination of the coe cient σ(t), appearing in a Dirichlet initial-boundary value problem for the parabolic equation ∂tu − ∆xu + σ(t)f(x)u = 0, from Neumann boundary data. We extend this result to the same inverse problem when the previous linear parabolic equation is changed to the semi-linear parabolic eq...

Representation of functionals of non-Markov processes is studied for bounded and unbounded domains. These functionals are represented via solutions of backward parabolic Ito equations. This results is based on an analog of the second fundamental inequality and the related existence theorem are obtained for backward parabolic Ito equations. AMS 1991 subject classification: Primary 60J55, 60J60, ...

A semilinear second-order parabolic equation is considered in a regular and a singularly perturbed regime. For this equation, we give computable a posteriori error estimates in the maximum norm. Semidiscrete and fully discrete versions of the backward Euler, Crank–Nicolson, and discontinuous Galerkin dG(r) methods are addressed. For their full discretizations, we employ elliptic reconstructions...