A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant

Abstract

This paper studies the existence and uniqueness of a classical solution to a type of Robin boundary problems on the nonnegative orthant. We propose a new decomposition-homogenization method for the Robin boundary problem based on probabilistic representations, which leads to two auxiliary Robin boundary problems admitting some simplified probabilistic representations. The auxiliary probabilistic representations allow us to establish the existence of a unique classical solution to the original Robin boundary problem using some stochastic flow analysis.

Final version, forthcoming in Electronic Journal of Probability