The obstacle problem for quasilinear stochastic PDE's

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.

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)

Cited by in corpus (2)

• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• A new type of reflected backward doubly stochastic differential equations