A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\) (Q2638357)

The authors study the existence and uniqueness of the solution for class of backward stochastic partial differential equations (BSPDEs) in the Sobolev spaces \(H^{n+2}\times H^{n+1}\). The main results are given in Theorem 2.1 (case of \(H^1\times H^0\)), Theorem 2.2 (case of \(H^2\times H^1\)) and Theorem 2.3 (a general case) , in the case of a super-parabolicity condition for the coefficient functions. The obtained results extend some similar results given by \textit{Y. Hu} and \textit{S. Peng} [Stochastic Anal. Appl. 9, No. 4, 445--459 (1991; Zbl 0736.60051)] and \textit{X. Zhou} [J. Funct. Anal. 103, No. 2, 275--293 (1992; Zbl 0762.60055)]. We remark a more general condition (than the Lipschitz condition) for the coefficient functions in the assumptions of Theorem 2.2. The proofs of these theorem are given in the section 3 and section 4 and is based, in the first part, on the results obtained by \textit{Y. Hu} and \textit{S. Peng} [Stochastic Anal. Appl. 9, No. 4, 445--459 (1991; Zbl 0736.60051)] . In the last section, as an application, a comparison theorem is given (Theorem 5.1). The proof is based on a similar result presented by \textit{J. Ma} and \textit{J. Yong}, Probab. Theory Relat. Fields 113, No. 2, 135--170 (1999; Zbl 0922.60053)].