Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

This paper is intended to give a representation for a 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.

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Year of publication:	2013
Authors:	Aman, Auguste ; Mrhardy, Naoul
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 863-874
Publisher:	Elsevier
Subject:	Backward doubly SDEs \| Stochastic PDEs \| Obstacle problem \| Stochastic viscosity solutions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010616885