Quasi-linear PDEs and forward–backward stochastic differential equations: Weak solutions

Abstract

In this paper, we study the existence, uniqueness and the probabilistic representation of the weak solutions of quasi-linear parabolic and elliptic partial differential equations (PDEs) in the Sobolev space H1ρ(Rd). For this, we study first the solutions of forward-backward stochastic differential equations (FBSDEs) with smooth coefficients, regularity of solutions and their connection with classical solutions of quasi-linear parabolic PDEs. Then using the approximation procedure, we establish their convergence in the Sobolev space to the solutions of the FBSDES in the space L2ρ(Rd; Rd) ⊗ L2ρ(Rd; Rk) ⊗ L2ρ(Rd; Rk×d). This gives a connection with the weak solutions of quasi-linear parabolic PDEs. Finally, we study the unique weak solutions of quasi-linear elliptic PDEs using the solutions of the FBSDEs on infinite horizon.