Neumann Boundary Condition via Reflected Generalized Backward Doubly Sdes
نویسنده
چکیده
This paper is intended to give a probabilistic representation for 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. AMS Subject Classification: 60H15; 60H20
منابع مشابه
Obstacle Problem for Spde with Nonlinear Neumann Boundary Condition via Reflected Generalized Backward Doubly Sdes
This paper is intended to give a probabilistic representation for 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. AMS Subject Classification: 60H15; 60H20
متن کاملReflected generalized backward doubly SDEs driven by Lévy processes and Applications
In this paper, a class of reflected generalized backward doubly stochastic differential equations (reflected GBDSDEs in short) driven by Teugels martingales associated with Lévy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to ...
متن کاملReflected Generalized Backward Doubly
In this paper, a class of reflected generalized backward doubly stochastic differential equations (reflected GBDSDEs in short) driven by Teugels martingales associated with Lévy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to ...
متن کاملGeneralized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
Backward stochastic differential equations (BSDEs) were introduced by Pardoux and Peng [6], and it was shown in various papers that stochastic differential equations (SDEs) of this type give a probabilistic representation for the solution (at least in the viscosity sense) of a large class of system of semi-linear parabolic partial differential equations (PDEs). A new class of BSDEs, called back...
متن کاملDiscrete Approximations of Generalized Rbsde with Random Terminal Time
The convergence of discrete approximations of generalized reflected backward stochastic differential equations with random terminal time in a general convex domain is studied. Applications to investigation obstacle elliptic problem with Neumann boundary condition for partial differential equations are given.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2009