ON FORWARD AND BACKWARD SPDES WITH NON-LOCAL BOUNDARY CONDITIONS

被引：4

作者：

Dokuchaev, Nikolai ^{[1
]}

机构：

[1] Curtin Univ, Dept Math & Stat, Perth, WA 6845, Australia

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS | 2015年 / 35卷 / 11期

关键词：

SPDEs; backward SPDEs; periodic conditions; non-local conditions; portfolio selection; STOCHASTIC-EVOLUTION EQUATIONS; PARABOLIC ITO EQUATIONS; STATIONARY SOLUTIONS; REPRESENTATION; FUNCTIONALS; UNIQUENESS; EXISTENCE; DUALITY;

D O I：

10.3934/dcds.2015.35.5335

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random values of the solution at different times, including the terminal time, initial time and continuously distributed times. For the case of backward equations, this setting covers almost surely periodicity. Uniqueness, solvability and regularity results for the solutions are obtained. Some possible applications to portfolio selection are discussed.

引用

页码：5335 / 5351

页数：17

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