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.

Review text

Given a deterministic terminal condition \(\Phi\) at a time \(T>0\) and an obstacle \(v\), existence of a unique solution \((u,\nu)\) of an equation \[ du+[\frac12\Delta u+f(t,x,u,\nabla u)+\text{div}g(t,x,u,\nabla u)]\,dt+h(t,x,u,\nabla u)\cdot\overleftarrow{dB}=-\nu(dt\,dx) \] with the constraint \(\nu(u>v)=0\) is established. The random functions \(f\), \(g\), \(h\) are assumed to be Lipschitz (with sufficiently small Lipschitz constants), \(B\) is a finite dimensional Wiener process, \(\int X\cdot\overleftarrow{dB}\) denotes the backward stochastic integral, the obstacle \(v=v(\omega,t,x)\) is a predictable function (e.g. continuous in \((t,x)\)) satisfying \(\Phi\geq v\). The above equation is understood in the weak PDE sense (using space-time test functions) and a solution has two components where \(u\) is a process in the Sobolev space \(H^1\) with \(L^2\)-continuous paths, \(\nu\) is a non-negative random measure on \([0,T]\times\mathbb R^d\) and \(u\) and \(\nu\) are linked by a certain joint regularity condition (expressed in terms of the stochastic potential theory). The paper is presented in a detailed way and the proof is based on a penalization method and the theory of potential.

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Cited in

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• Non-existence of positive stationary solutions for a class of semi-linear PDEs with random coefficients
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