Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

Auguste Aman; Naoual Mrhardy

Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

Probability 2009-07-13 v4

Authors: Auguste Aman , Naoual Mrhardy

Abstract

This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use it connection with reflected generalized backward doubly stochastic differential equation.

Keywords

reflected backward stochastic differential equations stochastic differential equations partial differential equations

Cite

@article{arxiv.0810.0436,
  title  = {Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs},
  author = {Auguste Aman and Naoual Mrhardy},
  journal= {arXiv preprint arXiv:0810.0436},
  year   = {2009}
}

Comments

This article is submitted in Stochastic and dynamics

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