Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance

arXiv1211.5858MaRDI QIDQ6237458FDOQ6237458

Publication date: 26 November 2012

Abstract: Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions based on the representation theorem are suggested. In addition to problems with a standard Cauchy condition at the terminal time, problems with special non-local boundary conditions are considered. These non-local conditions connect the terminal value of the solution with a functional over the entire past solution. Uniqueness, solvability and regularity results are obtained. Some applications to portfolio selection problem are considered.

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Local time and additive functionals (60J55) Linear differential equations in abstract spaces (34G10)

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