The obstacle problem for quasilinear stochastic PDE's

2010/10/12 by Anis Matoussi, Lucretiu Stoica · 1 citation
Mathematics · #math.PR

paper · pdf · doi:10.1214/09-aop507

published as Annals of Probability 2010, Vol. 38, No. 3, 1143-1179 · Published in at http://dx.doi.org/10.1214/09-AOP507 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

arxiv created 2010/10/12 · arxiv updated 2010/10/13

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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