Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations

Yong Ren, Auguste Aman, Qing Zhou

Published 2021-10-02, updated 2025-01-03Version 2

We derive the existence and uniqueness of the generalized backward doubly stochastic differential equation with sub-differential of a lower semi-continuous convex function under a non Lipschitz condition. This study allows us give a probabilistic representation (in stochastic viscosity sense) to the parabolic variational stochastic partial differential equations with Dirichlet-Neumann conditions.