The obstacle problem for quasilinear stochastic PDE's

DOI10.1214/09-AOP507MaRDI QIDQ984447zbMATHFDO

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

obstacle problemregular measurestochastic partial differential equationbackward doubly stochastic differential equationregular potential

Mathematics Subject Classification ID

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

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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Cited in

(22)

• Random obstacle problems. École d'Été de Probabilités de Saint-Flour XLV -- 2015
• The obstacle problem for semilinear parabolic partial integro-differential equations
• The existence and uniqueness result for quasilinear stochastic PDEs with obstacle under weaker integrability conditions
• The stochastic obstacle problem for the harmonic oscillator with damping
• The obstacle problem for quasilinear stochastic integral-partial differential equations
• Parabolic stochastic obstacle problem
• The obstacle problem for quasilinear stochastic PDEs: analytical approach
• Quasilinear stochastic PDEs with two obstacles: probabilistic approach
• Necessary condition for optimal control of doubly stochastic systems
• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• Non-existence of positive stationary solutions for a class of semi-linear PDEs with random coefficients
• The obstacle problem for stochastic porous media equations
• Second-order BSDEs with general reflection and game options under uncertainty
• Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form
• Wong-Zakai approximations of backward doubly stochastic differential equations
• Large deviation principles of obstacle problems for quasilinear stochastic PDEs
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• The obstacle problem for quasilinear stochastic PDEs with non-homogeneous operator
• The obstacle problem for quasilinear stochastic PDEs with degenerate operator
• Reflected solutions of generalized anticipated backward double stochastic differential equations
• The obstacle problem for quasilinear stochastic PDEs with Neumann boundary condition
• WEAK SOLUTIONS OF SEMILINEAR PDEs WITH OBSTACLE(S) IN SOBOLEV SPACES AND THEIR PROBABILISTIC INTERPRETATION VIA THE RFBSDEs AND DRFBSDEs

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