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

Auguste Aman and Naoul Mrhardy

Statistics & Probability Letters, 2013, vol. 83, issue 3, 863-874

Abstract: This paper is intended to give a representation for a 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: Backward doubly SDEs; Stochastic PDEs; Obstacle problem; Stochastic viscosity solutions (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:3:p:863-874

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DOI: 10.1016/j.spl.2012.11.004

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