Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property

DOI10.1007/S10255-016-0567-8MaRDI QIDQ287882zbMATH OpenOpenAlexFDO

Authors Huinan Leng

Publication date 23 May 2016

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-016-0567-8

zbMATH Keywords

backward doubly stochastic differential equationsinfinite horizonnon-degenerate terminal functionstationary property

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
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• Infinite horizon forward-backward stochastic differential equations
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
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• Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients
• Stationary stochastic viscosity solutions of SPDEs
• Stochastic Equations in Infinite Dimensions
• Weak solutions for SPDE's and backward doubly stochastic differential equations

Cited in

(4)

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• Backward doubly stochastic differential equations with infinite time horizon.
• Stochastic PDEs and infinite horizon backward doubly stochastic differential equations

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