The obstacle problem for quasilinear stochastic PDE's

DOI10.1214/09-AOP507zbMATH Open1200.60052arXiv1010.2307MaRDI QIDQ984447FDOQ984447

Authors: Anis Matoussi, Lucretiu Stoica 

Publication date: 19 July 2010

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

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.

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

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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)

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Cited In (22)

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

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