On a class of backward doubly stochastic differential equations

被引：11

作者：

Jankovic, Svetlana ^{[1
]}

Djordjevic, Jasmina ^{[1
]}

Jovanovic, Miljana ^{[1
]}

机构：

[1] Univ Nis, Fac Sci & Math, Nish 18000, Serbia

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2011年 / 217卷 / 21期

关键词：

Backward doubly stochastic differential; equations; Existence; Uniqueness; Moment estimates; Connections with SPDEs; DRIVEN; PDIES;

D O I：

10.1016/j.amc.2011.03.128

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, a new class of backward doubly stochastic differential equations is studied. This type of equations has a more general form of the forward Ito integrals compared to the ones which have been studied until now. We conclude that unique solutions of these equations can be represented with the help of solutions of the corresponding backward doubly stochastic differential equations, considered earlier in paper [5] by Pardoux and Peng. Some comparison theorems are also given, as well as a probabilistic interpretation for solutions of the corresponding quasilinear stochastic partial differential equations. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：8754 / 8764

页数：11

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