The obstacle problem for quasilinear stochastic PDE's

DOI10.1214/09-AOP507MaRDI QIDQ984447zbMATH OpenFDO

Authors Anis Matoussi, Lucretiu Stoica

Publication date 19 July 2010

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.2307

zbMATH Keywords

backward doubly stochastic differential equationobstacle problemregular measureregular potentialstochastic partial differential equation

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We prove an existence and uniqueness result for the obstacle problem of quasilinear parabolic stochastic PDEs. The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equation.

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