Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2021
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| Acceso en línea: | |
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| _version_ | 1866917882964738048 |
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| author | Ren, Yong Aman, Auguste Zhou, Qing |
| author_facet | Ren, Yong Aman, Auguste Zhou, Qing |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2110_00750 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations Ren, Yong Aman, Auguste Zhou, Qing Probability 60H15, 60H20 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. |
| title | Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations |
| topic | Probability 60H15, 60H20 |
| url | https://arxiv.org/abs/2110.00750 |