Backward doubly stochastic differential equations with infinite time horizon.

DOI10.1007/s10492-012-0039-2zbMath1274.60193MaRDI QIDQ1941787

Bo Zhu, Baoyan Han

Publication date: 21 March 2013

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/143008

zbMATH Keywords

filtration; infinite time horizon; backward doubly stochastic differential equations; backward stochastic integral

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Lp solutions of infinite time interval backward doubly stochastic differential equations, Comparison theorems for the multidimensional BDSDEs and applications, \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions, Stochastic PDEs and infinite horizon backward doubly stochastic differential equations, Backward doubly stochastic differential equations with a superlinear growth generator, Backward doubly SDEs and SPDEs with superlinear growth generators

Cites Work

• Unnamed Item
• Unnamed Item
• Comparison theorems for the multidimensional BDSDEs and applications
• Adapted solution of a backward stochastic differential equation
• Stochastic calculus with anticipating integrands
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• A type of time-symmetric forward-backward stochastic differential equations
• Infinite horizon forward-backward stochastic differential equations
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Stationary solutions of SPDEs and infinite horizon BDSDEs
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Backward Stochastic Differential Equations in Finance
• Weak solutions for SPDE's and backward doubly stochastic differential equations