1. Fudan University, Shanghai, People's Republic of China;2. University of Angers, Angers, France
Abstract:
ABSTRACTWe prove the existence and uniqueness of solutions to a kind of quasilinear stochastic integral-partial differential equations with obstacles. Our method is based on the probabilistic interpretation of the solutions so that penalization method can be applied to a sequence of backward doubly stochastic differential equations with jumps. Relations between regular potentials and regular measures play an important role.