Stochastic partial differential equations with singular terminal condition

DOI10.1016/J.SPA.2016.07.002MaRDI QIDQ511132zbMATH OpenOpenAlexFDO

Authors Anis Matoussi, Lambert Piozin, Alexandre Popier

Publication date 14 February 2017

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

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)

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.

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Cited in

(10)

• Backward doubly SDEs and SPDEs with superlinear growth generators
• Nonzero-sum differential game of backward doubly stochastic systems with delay and applications
• Stationary solutions of SPDEs and infinite horizon BDSDEs
• Backward stochastic differential equations with non-Markovian singular terminal values
• Strong uniqueness for an SPDE via backward doubly stochastic differential equations
• Numerical computation for backward doubly SDEs with random terminal time
• Forward-backward doubly stochastic differential equations with random jumps and related games
• Integro-partial differential equations with singular terminal condition
• Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations
• L ^p -solutions of backward doubly stochastic differential equations with time delayed generators

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