The obstacle problem for quasilinear stochastic PDE's
Probability
2010-10-13 v1
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.
Keywords
Cite
@article{arxiv.1010.2307,
title = {The obstacle problem for quasilinear stochastic PDE's},
author = {Anis Matoussi and Lucretiu Stoica},
journal= {arXiv preprint arXiv:1010.2307},
year = {2010}
}
Comments
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)