Systems of Semilinear Parabolic Variational Inequalities with Time-Dependent Convex Obstacles
Journal Article
·
· Applied Mathematics and Optimization
- Polish Academy of Sciences, Institute of Mathematics (Poland)
- Nicolaus Copernicus University, Faculty of Mathematics and Computer Science (Poland)
We consider a system of seminlinear parabolic variational inequalities with time-dependent convex obstacles. We prove the existence and uniqueness of its solution. We also provide a stochastic representation of the solution and show that it can be approximated by the penalization method. Our proofs are based upon probabilistic methods from the theory of Markov processes and the theory of backward stochastic differential equations.
- OSTI ID:
- 22749970
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 77; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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