Large Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs

被引:39
作者
Matoussi, Anis [1 ]
Sabbagh, Wissal [2 ]
Zhang, Tusheng [3 ]
机构
[1] Le Mans Univ, Risk & Insurance Inst Le Mans, Lab Manceau Math, Le Mans, France
[2] Univ Evry, Lab Math & Modelisat Evry, Evry, France
[3] Univ Manchester, Sch Math, Oxford Rd, Manchester M13 9PL, Lancs, England
关键词
Stochastic partial differential equation; Obstacle problems; Large deviations; Weak convergence; Backward stochastic differential equations;
D O I
10.1007/s00245-019-09570-5
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
In this paper, we first present a sufficient condition(a variant) for the large deviation criteria of Budhiraja, Dupuis and Maroulas for functionals of Brownian motions. The sufficient condition is particularly more suitable for stochastic differential/partial differential equations with reflection. We then apply the sufficient condition to establish a large deviation principle for obstacle problems of quasi-linear stochastic partial differential equations. It turns out that the backward stochastic differential equations will also play an important role.
引用
收藏
页码:849 / 879
页数:31
相关论文
共 30 条
  • [1] Boué M, 1998, ANN PROBAB, V26, P1641
  • [2] Budhiraja A., 2000, Probab. Math. Stat, V20, P39
  • [3] Large deviations for infinite dimensional stochastic dynamical systems
    Budhiraja, Amarjit
    Dupuis, Paul
    Maroulas, Vasileios
    [J]. ANNALS OF PROBABILITY, 2008, 36 (04) : 1390 - 1420
  • [4] Variational representations for continuous time processes
    Budhiraja, Amarjit
    Dupuis, Paul
    Maroulas, Vasileios
    [J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2011, 47 (03): : 725 - 747
  • [5] Large deviations for a Burgers'-type SPDE
    Cardon-Weber, C
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1999, 84 (01) : 53 - 70
  • [6] Cerrai S, 2004, ANN PROBAB, V32, P1100
  • [7] Uniform large deviations for parabolic SPDEs and applications
    Chenal, F
    Millet, A
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1997, 72 (02) : 161 - 186
  • [9] da Prato G., 1992, STOCHASTIC EQUATIONS, DOI 10.1017/CBO9780511666223
  • [10] A general analytical result for non-linear SPDE's and applications
    Denis, L
    Stoica, L
    [J]. ELECTRONIC JOURNAL OF PROBABILITY, 2004, 9 : 674 - 709