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Maximum Principle and Comparison Theorem for Quasi-linear Stochastic PDE's
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Laurent Denis, Université d'Evry Val d'Essonne
Anis Matoussi, Université du Maine
Lucretiu Stoica, University of Bucharest
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Abstract
We prove a comparison theorem and maximum principle for a local
solution of quasi-linear parabolic stochastic PDEs, similar to
the well known results in the deterministic case. The proofs are
based on a version of Ito's formula and estimates for the positive
part of a local solution which is non-positive on the lateral
boundary. Moreover we shortly indicate how these results
generalize for Burgers type SPDEs
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Full text: PDF
Pages: 500-530
Published on: February 23, 2009
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Electronic Journal of Probability. ISSN: 1083-6489 |
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