Adapted solution of a degenerate backward spde, with applications

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Well-posedness and Regularity for Quasilinear Degenerate Parabolic-hyperbolic Spde

We study quasilinear degenerate parabolic-hyperbolic stochastic partial differential equations with general multiplicative noise within the framework of kinetic solutions. Our results are twofold: First, we establish new regularity results based on averaging techniques. Second, we prove the existence and uniqueness of solutions in a full L1 setting requiring no growth assumptions on the nonline...

متن کامل

Finding Adapted Solutions of Forward - Backward

The notion of bridge is introduced for systems of coupled forward-backward stochastic diierential equations (FBSDEs, for short). This notion helps us to unify the method of continuation in nding adapted solutions to such FBSDEs over any nite time durations. It is proved that if two FBSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropria...

متن کامل

Obstacle Problem for Spde with Nonlinear Neumann Boundary Condition via Reflected Generalized Backward Doubly Sdes

This paper is intended to give a probabilistic representation for stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized backward doubly stochastic differential equations. AMS Subject Classification: 60H15; 60H20

متن کامل

Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging

We obtain the global existence and uniqueness result for a one-dimensional backward stochastic Riccati equation, whose generator contains a quadratic term of L (the second unknown component). This solves the one-dimensional case of BismutPeng's problem which was initially proposed by Bismut (1978) in the Springer yellow book LNM 649. We use an approximation technique by constructing a sequence ...

متن کامل

On Variant Reflected Backward SDEs, with Applications

We study a new type of reflected backward stochastic differential equations RBSDEs , where the reflecting process enters the drift in a nonlinear manner. This type of the reflected BSDEs is based on a variance of the Skorohod problem studied recently by Bank and El Karoui 2004 , and is hence named the “Variant Reflected BSDEs” VRBSDE in this paper. The special nature of the Variant Skorohod pro...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 1997

ISSN: 0304-4149

DOI: 10.1016/s0304-4149(97)00057-4