Quasilinear stochastic PDEs with two obstacles: probabilistic approach (Q1994906)

In this paper, the authors mainly prove an existence and uniqueness result for two-obstacle problems for quasilinear Stochastic PDEs. This class of stochastic PDE models arise in a number of applications, ranging from asymptotic limits of partial differential equations with rapid (mixing) oscillations in time, phase transitions and front propagation in random media with random normal velocities, filtering and stochastic control with partial observations, pathwise stochastic control theory and mathematical finance. The proof is mainly based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equations. In the case of two obstacles, by introducing two reflected generalized BDSDEs, the authors obtain a probabilistic representation of solutions to SPDEs with two obstacles. However, similarly to BSDEs theory, this generalization to the case of two obstacles is not easy, and the authors have to impose separability on the obstacles and a kind of Mokobodsky condition for the BSDEs case.