Maximum principle for quasi-linear backward stochastic partial differential equations

DOI10.1016/J.JFA.2011.12.002zbMATH Open1238.60076arXiv1103.1038OpenAlexW1969387947MaRDI QIDQ765931FDOQ765931

Authors: Jinniao Qiu, Shanjian Tang 

Publication date: 22 March 2012

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: In this paper we are concerned with the maximum principle for quasi-linear backward stochastic partial differential equations (BSPDEs for short) of parabolic type. We first prove the existence and uniqueness of the weak solution to quasi-linear BSPDE with the null Dirichlet condition on the lateral boundary. Then using the De Giorgi iteration scheme, we establish the maximum estimates and the global maximum principle for quasi-linear BSPDEs. To study the local regularity of weak solutions, we also prove a local maximum principle for the backward stochastic parabolic De Giorgi class.

Full work available at URL: https://arxiv.org/abs/1103.1038

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zbMATH Keywords

maximum principlebackward stochastic partial differential equationstochastic partial differential equationDe Giorgi iteration

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited In (29)

• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Controlled reflected SDEs and Neumann problem for backward SPDEs
• On the boundedness of solutions of SPDEs
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• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
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• Maximum principle for quasilinear SPDE's on a bounded domain without regularity assumptions
• Maximum principle for quasi-linear reflected backward SPDEs
• Maximum principle for stochastic recursive optimal control problem under model uncertainty
• Maximum principle for quasilinear stochastic PDEs with obstacle
• On the quasi-linear reflected backward stochastic partial differential equations
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Local \(L_\infty\)-estimates, weak Harnack inequality, and stochastic continuity of solutions of SPDEs
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• Peng's Maximum Principle for Stochastic Partial Differential Equations
• Necessary condition for optimal control of doubly stochastic systems
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
• Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations

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