A stochastic approach to a new type of parabolic variational inequalities

DOI10.1080/17442508.2014.989396MaRDI QIDQ5265795zbMATH OpenOpenAlexFDO

Authors Tianyang Nie

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.4840

zbMATH Keywords

variational inequalitiesviscosity solutionssubdifferential operatorsforward-backward stochastic differential equationsquasilinear partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We study the following quasilinear partial differential equation with two subdifferential operators: ${\displaystyle }${frac{partial u}{partial s}(s,x)} + (mathcal{L}u)(s,x,u(s,x),(

abla u(s,x))^astsigma(s,x,u(s,x))) + f(s,x,u(s,x),( abla u(s,x))^astsigma(s,x,u(s,x))) in partialvarphi(u(s,x)) + <partialpsi(x),

abla u(s,x)>, (s,x) in[0,T] imes Dompsi, u(T,x) =g(x),quad xin Dompsi.${\displaystyle }$ where for $$ and $(s,x,y,z)in[0,T]imesDompsiimesDomvarphiimesmathbb{R}^{1imesd}$, ${\displaystyle }$(mathcal{L}u)(s,x,y,z) := 1/2sum_{i,j=1}^n (sigmasigma^ast)_{i,j}(s,x,y)frac{partial^2u}{partial x_{i}partial x_{j}}(s,x) +sum_{i=1}^n b_i(s,x,y,z)frac{partial u}{partial x_i}(s,x). ${\displaystyle }$ The operator $partialpsi$ (resp. $partialvarphi$) is the subdifferential of the convex lower semicontinuous function $psi:mathbb{R}^{n}o(-infty,+infty]$ (resp. $varphi:mathbbRo(-infty,+infty]$). We define the viscosity solution for such kind of partial differential equations and prove the uniqueness of the viscosity solutions when $sigma$ does not depend on $y$. To prove the existence of a viscosity solution, a stochastic representation formula of Feymann-Kac type will be developed. For this end, we investigate a fully coupled forward-backward stochastic variational inequality.

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Cited in

(11)

• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• Viscosity solutions for systems of parabolic variational inequalities
• Vanishing viscosity method for quasilinear variational inequalities
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• On the relationship between viscosity and distribution solutions for nonlinear Neumann type PDEs: the probabilistic approach
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem

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