Probabilistic representations and numerical algorithms to construct classical and viscosity solutions of the Cauchy problem for systems of quasilinear parabolic equations
Abstract:
We propose two approaches that allow to construct probabilistic representationû of classical and viscosity solutions of the Cauchy problem for systemû of quasilinear parabolic equations. Based on this representations we develop two numerical algorithms to construct the required solutions.
Key words and phrases:stochastic differential equations, systems of quasilinear parabolic equations, classical and viscosity solutions of the Cauchy problem.