Maximum principle for quasi-linear backward stochastic partial differential equations

DOI10.1016/J.JFA.2011.12.002MaRDI QIDQ765931zbMATH OpenOpenAlexFDO

Authors Jinniao Qiu, Shanjian Tang

Publication date 22 March 2012

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

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

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)

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.

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Cited in

(29)

• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
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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 quasilinear stochastic PDEs with obstacle
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