Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) (Q653654)

Given a fractional Brownian motion \(B\) with Hurst parameter \(H\in(0,1/2)\), an independent (classical) Brownian motion \(W\), and a square integrable random variable \(\xi\) measurable w.r.t. \(W\) over the interval \([0,T]\), the authors study the backward doubly stochastic differential equation (BDSDE) \[ dY_t=f(t,Y_t,Z_t)dt-Z_t \downarrow dW_t+\gamma_t Y_tdB_t,\;t\in[0,T],\, Y_0=\xi, \] and they show the existence and the uniqueness of a solution \((Y,Z)\) of this equation under suitable assumptions in an adequate space of processes. For the case of two independent classical Brownian motions \(W\) and \(B\), such BDSDEs have been well studied by different authors for a longer time; the reader is, in particular, referred to the pioneering paper [Probab. Theory Relat. Fields 98, No. 2, 209--227 (1994; Zbl 0792.60050)] by \textit{E. Pardoux} and \textit{S. Peng}. However, the fact that, in the present paper, \(B\) is not a classical Brownian motion but a fractional one, changes the problem radically, since a fractional Brownian motion is not a semimartingale. Interpreting the stochastic integral w.r.t. \(B\) in their BDSDE as the extended divergence operator (Skorohod integral), the authors use an argument for solving anticipative linear stochastic differential equations with Skorohod integral through an anticipative Girsanov transformation, developed by \textit{R. Buckdahn} [Mem. Am. Math. Soc. 533 (1994; Zbl 0849.60053)], in order to reduce their semilinear BDSDE to a backward stochastic differential equation (BSDE) which does not have the stochastic integral w.r.t. \(B\) anymore, but the coefficients of which depend on the paths of \(B\). The thus obtained BSDE can be solved by classical arguments, but special estimates are necesssary, in order to interpret the transformed solutions of this BSDE as solution of the BDSDE. Finally, the authors prove that their BDSDE gives a (doubly) stochastic interpretation to the viscosity solution of the associated second order stochastic PDE driven by the fractional Brownian motion \(B\).