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arXiv · 1808.01959

A non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis

Elena Issoglio
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Abstract

We consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity is of quadratic type in the gradient of the unknown. Under suitable conditions on the parameters we prove local existence and uniqueness of a mild solution to the PDE, and investigate properties like continuity with respect to the initial condition and blow-up times. We prove a global existence and uniqueness result assuming further properties on the non-linearity. To conclude we consider an application of the PDE to stochastic analysis, in particular to a class of non-linear backward stochastic differential equations with distributional drivers.

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Elena Issoglio. 2018-08-06. A non-linear parabolic PDE with a distributional coefficient and its applications to stochastic analysis. https://doi.org/10.1016/j.jde.2019.06.014

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