Article ID Journal Published Year Pages File Type
1155879 Stochastic Processes and their Applications 2012 36 Pages PDF
Abstract

We consider the Cauchy problem for a 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 also prove regularity properties and approximation results for solutions of the problem.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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