A stochastic approach to a multivalued Dirichlet-Neumann problem

DOI10.1016/j.spa.2010.02.002zbMath1195.35192arXiv0808.0817OpenAlexW2009262654MaRDI QIDQ980999

Aurel Răşcanu, Lucian Maticiuc

Publication date: 8 July 2010

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

Full work available at URL: https://arxiv.org/abs/0808.0817

zbMATH Keywords

backward stochastic differential equationsmixed boundary conditionsFeynman-Kaç formula

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40)

Related Items (17)

Generalized backward stochastic variational inequalities driven by a fractional Brownian motion ⋮ Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion ⋮ Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ Multivalued backward stochastic differential equations with time delayed generators ⋮ Backward multivalued McKean-Vlasov SDEs and associated variational inequalities ⋮ Time-delayed generalized BSDEs ⋮ Anticipated backward stochastic variational inequalities with generalized reflection ⋮ Mean-field backward stochastic differential equations with subdifferential operator and its applications ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Numerical schemes for multivalued backward stochastic differential systems ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ L^p-Variational solutions of multivalued backward stochastic differential equations ⋮ Multivalued backward stochastic differential equations with oblique subgradients ⋮ Backward stochastic variational inequalities on random interval ⋮ A stochastic approach to a new type of parabolic variational inequalities

Cites Work

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• Viscosity solutions for systems of parabolic variational inequalities
• Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Stochastic differential equations with reflecting boundary conditions
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Backward stochastic variational inequalities

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