Maximum principle for quasi-linear reflected backward SPDEs

DOI10.1016/j.jmaa.2017.06.047zbMath1372.35057arXiv1604.02425OpenAlexW2963191077MaRDI QIDQ2401827

Ulrich Horst, Guanxing Fu, Jinniao Qiu

Publication date: 5 September 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.02425

zbMATH Keywords

backward stochastic partial differential equationreflected backward stochastic partial differential equationDe Giorgi's iterationnon-zero Dirichlet boundary conditions

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) PDEs with randomness, stochastic partial differential equations (35R60) Weak solutions to PDEs (35D30)

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Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone, Reflected stochastic partial differential equations with jumps, Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information

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