A stochastic approach to a new type of parabolic variational inequalities

DOI10.1080/17442508.2014.989396zbMATH Open1341.60071arXiv1203.4840OpenAlexW2063762516MaRDI QIDQ5265795FDOQ5265795

Authors: Tianyang Nie 

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

Cites Work

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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
• Vanishing viscosity method for quasilinear variational inequalities
• Viscosity solutions for systems of parabolic variational inequalities
• On a parabolic variational inequality related to a sandpile problem
• A stochastic approach to a multivalued Dirichlet-Neumann problem
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• 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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