Applied Mathematics and Optimization, Vol.77, No.3, 541-566, 2018
Systems of Semilinear Parabolic Variational Inequalities with Time-Dependent Convex Obstacles
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.
Keywords:Semilinear variational inequality;Divergence form operator;Time-dependent obstacle;Penalization method;Reflected backward stochastic differential equation