Representation theorems for backward doubly stochastic differential equations
From MaRDI portal
Publication:6207830
arXiv0712.2219MaRDI QIDQ6207830FDOQ6207830
Authors: Auguste Aman 
Publication date: 13 December 2007
Abstract: In this paper we study the class of backward doubly stochastic differential equations (BDSDEs, for short) whose terminal value depends on the history of forward diffusion. We first establish a probabilistic representation for the spatial gradient of the stochastic viscosity solution to a quasilinear parabolic SPDE in the spirit of the Feynman-Kac formula, without using the derivatives of the coefficients of the corresponding BDSDE. Then such a representation leads to a closed-form representation of the martingale integrand of BDSDE, under only standard Lipschitz condition on the coefficients.
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)
This page was built for publication: Representation theorems for backward doubly stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6207830)
