Stochastic partial differential equations with singular terminal condition

DOI10.1016/J.SPA.2016.07.002zbMATH Open1355.35198arXiv1505.04624OpenAlexW2130571913MaRDI QIDQ511132FDOQ511132

Anis Matoussi, Lambert Piozin, Alexandre Popier

Publication date: 14 February 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the generator. Then we study the case where the terminal data is singular, in the sense that it can be equal to +$infty$ on a set of positive measure. In this setting we show that there exists a minimal solution, both for the BDSDE and for the SPDE. Note that solution of the SPDE means weak solution in the Sobolev sense.

Full work available at URL: https://arxiv.org/abs/1505.04624

zbMATH Keywords

stochastic partial differential equationsbackward doubly stochastic differential equationsmonotone conditionsingular terminal data

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Singular parabolic equations (35K67) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (6)

• Nonzero-sum differential game of backward doubly stochastic systems with delay and applications
• Forward-backward doubly stochastic differential equations with random jumps and related games
• Backward stochastic differential equations with non-Markovian singular terminal values
• Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations
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