The Obstacle Problem for Quasilinear Stochastic Integral-Partial Differential Equations
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🧮 math.PR
keywords
differentialequationsintegral-partialobstacleproblemquasilinearstochasticbackward
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We prove an existence and uniqueness result for the obstacle problem for quasilinear stochastic integral-partial differential equations. Our method is based on the probabilistic interpretation of the solution using backward doubly SDEs with jumps.
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