Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles

DOI10.1007/S00245-016-9387-8MaRDI QIDQ722074zbMATHOpenAlexWikidataFDO

Authors Tomasz Klimsiak, Andrzej Rozkosz, Leszek Slominski

Publication date 20 July 2018

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.04742

zbMATH Keywords

penalization methodreflected backward stochastic differential equationdivergence form operatorsemilinear variational inequalitytime-dependent obstacle

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

Abstract: We consider a system of seminlinear parabolic variational inequalities with time-dependent convex obstacles. We prove the existence and uniqueness of its solution. We also provide a stochastic representation of the solution and show that it can be approximated by the penalization method. Our proofs are based upon probabilistic methods from the theory of Markov processes and the theory of backward stochastic differential equations.

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Cited in

(1)

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