Stochastic and partial differential equations on non-smooth time-dependent domains

Niklas L.P. Lundström and Thomas Önskog

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1097-1131

Abstract: In this article, we consider non-smooth time-dependent domains whose boundary is W1,p in time and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic differential equations with oblique reflection. Secondly, we prove, using the theory of viscosity solutions, a comparison principle for fully nonlinear second-order parabolic partial differential equations with oblique derivative boundary conditions. As a consequence, we obtain uniqueness, and, by barrier construction and Perron’s method, we also conclude existence of viscosity solutions. Our results generalize two articles by Dupuis and Ishii to time-dependent domains.

Keywords: Reflected diffusion; Skorohod problem; Oblique reflection; Time-dependent domain; Stochastic differential equations; Non-smooth domain; Viscosity solution; Parabolic partial differential equation; Comparison principle; Existence; Uniqueness (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:4:p:1097-1131

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DOI: 10.1016/j.spa.2018.04.006

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