Backward doubly stochastic differential equations with a superlinear growth generator

DOI10.1016/J.CRMA.2014.10.008MaRDI QIDQ2255246zbMATH OpenOpenAlexFDO

Authors Rafika Gatt, Badreddine Mansouri, Khaled Bahlali

Publication date 9 February 2015

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2014.10.008

zbMATH Keywords

backward doubly stochastic differential equationsstochastic PDEsSobolev solutionsuperlinear growth generator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• An approximation result for nonlinear SPDEs with Neumann boundary conditions
• BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Backward doubly stochastic differential equations with infinite time horizon.
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Strong uniqueness for an SPDE via backward doubly stochastic differential equations

Cited in

(4)

• Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
• Reflected backward doubly stochastic differential equations with time delayed generators
• Backward doubly SDEs and SPDEs with superlinear growth generators
• The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth

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