English

Reflected BSDEs and continuous solutions of parabolic obstacle problem for semilinear PDEs in divergence form

Probability 2009-12-14 v1 Analysis of PDEs

Abstract

We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution of the problem admits a stochastic representation in terms of reflected backward stochastic differential equations. We derive also some regularity properties of so- lutions and prove useful approximation results.

Keywords

Cite

@article{arxiv.0912.2193,
  title  = {Reflected BSDEs and continuous solutions of parabolic obstacle problem for semilinear PDEs in divergence form},
  author = {Tomasz Klimsiak},
  journal= {arXiv preprint arXiv:0912.2193},
  year   = {2009}
}

Comments

36 pages, 33rd Conference on Stochastic Processes and Their Applications, Berlin 2009