A stochastic approach to a multivalued Dirichlet-Neumann problem

DOI10.1016/J.SPA.2010.02.002MaRDI QIDQ980999zbMATH OpenOpenAlexFDO

Authors Lucian Maticiuc, Aurel Răşcanu

Publication date 8 July 2010

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0808.0817

zbMATH Keywords

backward stochastic differential equationsFeynman-Kaç formulamixed boundary conditions

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) PDEs with randomness, stochastic partial differential equations (35R60) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We prove the existence and uniqueness of a viscosity solution of the parabolic variational inequality with a nonlinear multivalued Neumann-Dirichlet boundary condition:% {equation*} {{array}{r} dfrac{partial u(t,x)}{partial t}-mathcal{L}_{t}u(t,x) {+}{% partial phi}�ig(u(t,x)�ig)

i f�ig(t,x,u(t,x),( abla usigma)(t,x)�ig), t>0, xin mathcal{D},medskip multicolumn{1}{l}{dfrac{partial u(t,x)}{partial n}+{partial psi}�ig(% u(t,x)�ig)

i g�ig(t,x,u(t,x)�ig), t>0, xin Bd(mathcal{D}%),multicolumn{1}{l}{u(0,x)=h(x), xin �ar{mathcal{D}},}% {array}%. {equation*}% where $partialphi$ and $partialpsi$ are subdifferentials operators and $mathcal{L}_t$ is a second differential operator. The result is obtained by a Feynman-Kac{c} representation formula starting from the backward stochastic variational inequality:% {equation*} {{array}{l} dY_{t}{+}F(t,Y_{t},Z_{t}) dt{+}G(t,Y_{t}) dA_{t}in partial phi (Y_{t}) dt{+}partial psi (Y_{t}) dA_{t}{+}Z_{t}dW_{t}, 0leq tleq T,medskip Y_{T}=xi .% {array}%. {equation*}

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Cites work

• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Backward stochastic variational inequalities
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Generalized BSDEs and nonlinear Neumann boundary value problems
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• Viscosity solutions for systems of parabolic variational inequalities
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(27)

• Existence and uniqueness of viscosity solutions for nonlinear variational inequalities associated with mixed control
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Multivalued backward stochastic differential equations with oblique subgradients
• Backward stochastic variational inequalities on random interval
• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• The value of the stochastic solution in multistage problems
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• Generalized backward stochastic variational inequalities driven by a fractional Brownian motion
• L^p-variational solutions of multivalued backward stochastic differential equations
• Numerical solution of variational inequalities: localization with Dirichlet conditions
• Multivalued backward stochastic differential equations with time delayed generators
• The stochastic reflection problem with multiplicative noise
• Numerical schemes for multivalued backward stochastic differential systems
• Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion
• Continuity of the Feynman-Kac formula for a generalized parabolic equation
• Anticipated backward stochastic variational inequalities with generalized reflection
• A stochastic approach to a new type of parabolic variational inequalities
• Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
• DIRICHLET PROBLEM WITH STOCHASTIC COEFFICIENTS
• Viscosity solutions for systems of parabolic variational inequalities
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• Time-delayed generalized BSDEs
• Probabilistic representation of the parabolic stochastic variational inequality with Dirichlet–Neumann boundary and variational generalized backward doubly stochastic differential equations
• Probabilistic approach to averaging for a type of multivalued Dirichlet-Neumann problems
• Viability of moving sets for a nonlinear Neumann problem
• Mean-field backward stochastic differential equations with subdifferential operator and its applications
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem

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