WEAK SOLUTIONS OF SEMILINEAR PDEs WITH OBSTACLE(S) IN SOBOLEV SPACES AND THEIR PROBABILISTIC INTERPRETATION VIA THE RFBSDEs AND DRFBSDEs

DOI10.1142/S0219493708002305zbMath1162.35301MaRDI QIDQ3520407

Youssef Ouknine, Djibril Ndiaye

Publication date: 26 August 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

penalization methodreflected forward-backward stochastic differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form, Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations

Cites Work

• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• User’s guide to viscosity solutions of second order partial differential equations
• Weak Solutions of Semilinear PDEs in Sobolev Spaces and Their Probabilistic Interpretation via the FBSDEs