Stochastic PDEs driven by nonlinear noise and backward doubly SDEs

被引：28

作者：

Matoussi, A ^{[1
]}

Scheutzow, M ^{[1
]}

机构：

[1] Tech Univ Berlin, FB 3, D-10623 Berlin, Germany

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2002年 / 15卷 / 01期

关键词：

stochastic partial differential equation; backward SDE; Feynman-Kac's formula; Ito-Kunita's stochastic integral; stochastic flow;

D O I：

10.1023/A:1013803104760

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study a "new kind" of backward doubly stochastic differential equations, where the nonlinear noise term is given by Ito-Kunita's stochastic integral. This allows us to give a probabilistic interpretation of classical and Sobolev's solutions of semilinear parabolic stochastic partial differential equations driven by a nonlinear space-time noise.

引用

页码：1 / 39

页数：39

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