Probabilistic Representation of Weak Solutions of Partial Differential Equations with Polynomial Growth Coefficients

Qi Zhang, Huaizhong Zhao

Published 2009-02-06, updated 2011-02-26Version 3

In this paper we develop a new weak convergence and compact embedding method to study the existence and uniqueness of the $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}})\otimes L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{d}})$ valued solution of backward stochastic differential equations with p-growth coefficients. Then we establish the probabilistic representation of the weak solution of PDEs with p-growth coefficients via corresponding BSDEs.