Maximum Principle for Quasi-linear Backward Stochastic Partial Differential Equations

Abstract

In this paper we are concerned with the maximum principle for quasi-linear backward stochastic partial differential equations (BSPDEs for short) of parabolic type. We first prove the existence and uniqueness of the weak solution to quasi-linear BSPDE with the null Dirichlet condition on the lateral boundary. Then using the De Giorgi iteration scheme, we establish the maximum estimates and the global maximum principle for quasi-linear BSPDEs. To study the local regularity of weak solutions, we also prove a local maximum principle for the backward stochastic parabolic De Giorgi class.

References in corpus (1)

• On the Dirichlet Problem for Backward Parabolic Stochastic Partial Differential Equations in General Smooth Domains