The Annals of Probability

The obstacle problem for quasilinear stochastic PDE’s

Anis Matoussi and Lucretiu Stoica

Full-text: Open access

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.

Article information

Source
Ann. Probab., Volume 38, Number 3 (2010), 1143-1179.

Dates
First available in Project Euclid: 2 June 2010

Permanent link to this document
https://projecteuclid.org/euclid.aop/1275486190

Digital Object Identifier
doi:10.1214/09-AOP507

Mathematical Reviews number (MathSciNet)
MR2674996

Zentralblatt MATH identifier
1200.60052

Subjects
Primary: 60H15: Stochastic partial differential equations [See also 35R60] 60G46: Martingales and classical analysis
Secondary: 35H60

Keywords
Stochastic partial differential equation obstacle problem backward doubly stochastic differential equation regular potential regular measure

Citation

Matoussi, Anis; Stoica, Lucretiu. The obstacle problem for quasilinear stochastic PDE’s. Ann. Probab. 38 (2010), no. 3, 1143--1179. doi:10.1214/09-AOP507. https://projecteuclid.org/euclid.aop/1275486190


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References

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