On the Quasi-linear Reflected Backward Stochastic Partial Differential Equations

Jinniao Qiu; Wenning Wei

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arXiv · 1307.3749

On the Quasi-linear Reflected Backward Stochastic Partial Differential Equations

Jinniao Qiu·Wenning Wei

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Abstract

This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and potential, we first associate the RBSPDE to a variational problem, and via the penalization method, we prove the existence and uniqueness of the solution for linear RBSPDE with Lapalacian leading coefficients. With the continuity approach, we further obtain the well-posedness of general quasi-linear RBSPDEs. Related results, including It\^o formulas for backward stochastic partial differential equations with random measures, the comparison principle for solutions of RBSPDEs and the connections with reflected backward stochastic differential equations and optimal stopping problems, are addressed as well.

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Jinniao Qiu, Wenning Wei. 2013-07-14. On the Quasi-linear Reflected Backward Stochastic Partial Differential Equations. https://arxiv.org/abs/1307.3749

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