Maximum Principle for Quasilinear Stochastic PDEs with Obstacle

2012/10/12 by Denis Laurent, Matoussi Anis, Laurent, Denis +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · Social Sciences · #31B150 #35R60 #60H15 #Economic theories and models #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:31B150 #msc:35R60 #msc:60H15

paper · pdf · doi:10.48550/arxiv.1210.3445

openalex publication_date 2012/10/12 · arxiv created 2013/04/16 · arxiv updated 2013/04/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove a maximum principle for local solutions of quasilinear stochastic PDEs with obstacle (in short OSPDE). The proofs are based on a version of Itô's formula and estimates for the positive part of a local solution which is non-positive on the lateral boundary.

Cited by

• The Obstacle Problem for Quasilinear Stochastic PDEs with non-homogeneous operator
• The existence and uniqueness result for Quasilinear Stochastic PDEs with Obstacle under weaker integrability conditions

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