arXiv:1810.03392 Abstract | arXiv Analytics

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Reflected BSDEs and obstacle problem for semilinear PDEs in divergence form

Published 2018-10-08Version 1

We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the equation and mild conditions on the obstacle the problem has a unique solution and we provide its stochastic representation in terms of reflected backward stochastic differential equations. We prove also regularity properties and approximation results for solutions of the problem.

Journal: Stochastic Process. Appl. 122 (2012) 134-169

Categories: math.AP

Keywords: divergence form, semilinear pdes, obstacle problem, reflected bsdes, reflected backward stochastic differential equations

Tags: journal article

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