On the quasi-linear reflected backward stochastic partial differential equations

DOI10.1016/j.jfa.2014.08.023zbMath1300.60080arXiv1307.3749OpenAlexW2964004746MaRDI QIDQ461705

Jinniao Qiu, Wenning Wei

Publication date: 13 October 2014

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.3749

zbMATH Keywords

optimal stopping problemreflected backward stochastic differential equationparabolic capacity and potentialreflected backward stochastic partial differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Potentials and capacities, extremal length and related notions in higher dimensions (31B15) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

Related Items (11)

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations ⋮ Pricing Options under Rough Volatility with Backward SPDEs ⋮ Maximum principle for quasi-linear reflected backward SPDEs ⋮ The obstacle problem for stochastic porous media equations ⋮ Reflected backward stochastic partial differential equations in a convex domain ⋮ Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations ⋮ A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition ⋮ Controlled reflected SDEs and Neumann problem for backward SPDEs ⋮ Optimal retirement in a general market environment ⋮ \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

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