Forward-backward doubly stochastic differential equations and related stochastic partial differential equations (Q1934378)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Forward-backward doubly stochastic differential equations and related stochastic partial differential equations |
scientific article |
Statements
Forward-backward doubly stochastic differential equations and related stochastic partial differential equations (English)
0 references
28 January 2013
0 references
The authors prove that classes of systems of coupled forward-backward doubly stochastic differential equations (FBDSDEs) may have the same unique solvability if they are linked by appropriate bridges. Their argumentation allows a ``probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential equations (SPDEs) combined with algebraic equations''. The analysis is based on a coupling of forward and backward components of related FBDSDEs.
0 references
forward-backward doubly stochastic differential equations
0 references
stochastic partial differential equations
0 references
bridge
0 references
measurable solution
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references