On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces

DOI10.1214/14-AOP976zbMATH Open1336.60125arXiv1304.5687OpenAlexW1547917734MaRDI QIDQ272959FDOQ272959

Wenning Wei, Shanjian Tang

Publication date: 21 April 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: This paper is concerned with solution in H"{o}lder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type. The pair of unknown variables are viewed as deterministic spatial functionals which take values in Banach spaces of random (vector) processes. We define suitable functional H"{o}lder spaces for them and give some inequalities among these H"{o}lder norms. The existence, uniqueness as well as the regularity of solutions are proved for BSPDEs, which contain new assertions even on deterministic PDEs.

Full work available at URL: https://arxiv.org/abs/1304.5687

zbMATH Keywords

backward stochastic partial differential equationsCauchy problemheat potentialHölder spaces

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Elliptic partial differential equations of second order
• A duality analysis on stochastic partial differential equations
• Adapted solution of a degenerate backward SPDE, with applications
• On linear, degenerate backward stochastic partial differential equations
• On semi-linear degenerate backward stochastic partial differential equations
• On the Cauchy problem for parabolic SPDEs in Hölder classes.
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
• \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
• Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
• A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Adapted solution of a backward semilinear stochastic evolution equation
• Stochastic Hamilton–Jacobi–Bellman Equations
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• An Introductory Approach to Duality in Optimal Stochastic Control
• The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
• Backward Stochastic Differential Equations in Finance
• Backward parabolic Ito equations and the second fundamental inequality
• Adapted solution of a backward stochastic differential equation
• 2D backward stochastic Navier-Stokes equations with nonlinear forcing
• Maximum principle for quasi-linear backward stochastic partial differential equations
• Théorie probabiliste du contrôle des diffusions

Cited In (13)

• Controlled reflected SDEs and Neumann problem for backward SPDEs
• Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• On the Cauchy problem for parabolic SPDEs in Hölder classes.
• On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces
• Stochastic Hölder continuity of random fields governed by a system of stochastic PDEs
• Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates
• Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
• $L^p$-theory of forward-backward stochastic differential equations
• Well-posedness of backward stochastic partial differential equations with Lyapunov condition
• SDEs with random and irregular coefficients
• Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations
• Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations

Recommendations

• Title not available (Why is that?) 👍 👎
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains 👍 👎
• On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces 👍 👎
• \(L^p\) solutions of backward stochastic differential equations. 👍 👎
• Backward SDEs and Cauchy problem for semilinear equations in divergence form 👍 👎
• Backward stochastic differential equations and Dirichlet problems of semilinear elliptic operators with singular coefficients 👍 👎
• On the Cauchy problem for stochastic parabolic equations in Hölder spaces 👍 👎
• On a general result for backward stochastic differential equations 👍 👎
• On measure solutions of backward stochastic differential equations 👍 👎

This page was built for publication: On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q272959)