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 2011-08-04 v2

Authors: Auguste Aman , Naoual Mrhardy

Abstract

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

Keywords

reflected backward stochastic differential equations stochastic differential equations partial differential equations

Cite

@article{arxiv.1011.3220,
  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:1011.3220},
  year   = {2011}
}

Comments

This version has been greatly improved, especially Section 3.2, and has been submitted for publication

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