A stochastic approach to a new type of parabolic variational inequalities

DOI10.1080/17442508.2014.989396zbMath1341.60071arXiv1203.4840OpenAlexW2063762516MaRDI QIDQ5265795

Tianyang Nie

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4840

zbMATH Keywords

variational inequalitiesviscosity solutionsforward-backward stochastic differential equationssubdifferential operatorsquasilinear partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40)

Related Items (4)

Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem

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