Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
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Abstract: In this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator, and we investigate the links between our 2BDSDEs and a class of parabolic fully nonLinear Stochastic PDes. Precisely, we show that the Markovian solution of 2BDSDEs provide a probabilistic interpretation of the classical and stochastic viscosity solution of fully nonlinear SPDEs.
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Cited in
(5)- Weak solutions for SPDE's and backward doubly stochastic differential equations
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