Quasilinear stochastic PDEs with two obstacles: probabilistic approach

DOI10.1016/J.SPA.2020.11.002MaRDI QIDQ1994906zbMATH OpenOpenAlexWikidataFDO

Authors Laurent Denis, Jing Zhang, Anis Matoussi

Publication date 18 February 2021

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

Full work available at URL https://arxiv.org/abs/2012.03557

zbMATH Keywords

stochastic partial differential equations, two-obstacle problem, backward doubly stochastic differential equations, regular potential, regular measure

Mathematics Subject Classification ID

Potentials and capacities, extremal length and related notions in higher dimensions (31B15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equations (BDSDEs for short).

Review text

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.

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Cited in

(8)

• The obstacle problem for quasilinear stochastic PDEs with degenerate operator
• The obstacle problem for quasilinear stochastic PDEs: analytical approach
• The obstacle problem for quasilinear stochastic PDEs with non-homogeneous operator
• The obstacle problem for quasilinear stochastic integral-partial differential equations
• A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems
• The obstacle problem for quasilinear stochastic PDEs with Neumann boundary condition
• The obstacle problem for stochastic porous media equations
• The obstacle problem for quasilinear stochastic PDE's

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