Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form

DOI10.1016/J.SPA.2011.10.001zbMATH Open1242.60070arXiv0912.2193OpenAlexW1980124444WikidataQ131317334 ScholiaQ131317334MaRDI QIDQ655320FDOQ655320

Tomasz Klimsiak

Publication date: 4 January 2012

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

Abstract: We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution of the problem admits a stochastic representation in terms of reflected backward stochastic differential equations. We derive also some regularity properties of so- lutions and prove useful approximation results.

Full work available at URL: https://arxiv.org/abs/0912.2193

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zbMATH Keywords

backward stochastic differential equationobstacle problemweak solutiondivergence form operatorsemilinear parabolic PDEsoft Radon measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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Cited In (18)

• Quadratic reflected BSDEs and related obstacle problems for PDEs
• The obstacle problem for quasilinear stochastic PDEs with non-homogeneous operator
• Existence and large-time asymptotics for solutions of semilinear parabolic systems with measure data
• Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles
• Obstacle problem for semilinear parabolic equations with measure data
• The existence and uniqueness result for quasilinear stochastic PDEs with obstacle under weaker integrability conditions
• On the quasi-linear reflected backward stochastic partial differential equations
• Semilinear elliptic systems with measure data
• The obstacle problem for quasilinear stochastic PDEs: analytical approach
• BSDEs with monotone generator and two irregular reflecting barriers
• The obstacle problem for semilinear parabolic partial integro-differential equations
• Nonlinear parabolic SPDEs involving Dirichlet operators
• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• Reflected BSDEs in time-dependent convex regions
• Reflected forward-backward SDEs and obstacle problems with boundary conditions

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