Backward doubly stochastic differential equations with infinite time horizon

被引：5

作者：

Zhu, Bo ^{[1
]}

Han, Baoyan ^{[2
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Math & Quantitat Econ, Jinan 250014, Peoples R China

[2] Shandong Univ Art & Design, Jinan 250014, Peoples R China

来源：

APPLICATIONS OF MATHEMATICS | 2012年 / 57卷 / 06期

关键词：

infinite horizon backward doubly stochastic differential equations; filtration; backward stochastic integral; VISCOSITY SOLUTIONS; SPDES;

D O I：

10.1007/s10492-012-0039-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.

引用

页码：641 / 653

页数：13

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