Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data

DOI10.1214/EJP.V17-2062zbMATH Open1261.60068OpenAlexW2125273879WikidataQ131317061 ScholiaQ131317061MaRDI QIDQ428661FDOQ428661

Authors: Andrzej Rozkosz, Leszek Slominski 

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v17-2062

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zbMATH Keywords

backward stochastic differential equationentropy solutionmeasure datasemilinear elliptic obstacle problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Unilateral problems for nonlinear elliptic equations and variational inequalities with nonlinear elliptic operators (35J87) PDEs with measure (35R06) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (12)

• Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Obstacle problem for semilinear parabolic equations with measure data
• Systems of quasi-variational inequalities related to the switching problem
• Dirichlet forms and semilinear elliptic equations with measure data
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
• On perpetual American options in a multidimensional Black-Scholes model
• Reflected BSDEs in time-dependent convex regions
• \(L^p\)-variational solutions of multivalued backward stochastic differential equations
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Quasi-regular Dirichlet forms and the obstacle problem for elliptic equations with measure data

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