THE OBSTACLE PROBLEM FOR QUASILINEAR STOCHASTIC PDE'S

• 成果类型: Article
• 署名作者: Matoussi, Anis; Stoica, Lucretiu
• 署名单位: Le Mans Universite; Romanian Academy; University of Bucharest; Institute of Mathematics of the Romanian Academy; University of Bucharest
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/09-AOP507
• 发表日期: 2010
• 页码: 1143-1179
• 关键词: differential-equations; spdes; driven; noise; reflection; sdes

摘要

We prove an existence and uniqueness result for the obstacle problem of quasi linear parabolic stochastic PDEs. The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic differential equation.