Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs

被引：1

作者：

Zhu, Qing-feng ^{[1
,2
,3
,4
]}

Zhang, Liang-quan ^{[5
]}

Shi, Yu-feng ^{[3
,4
]}

机构：

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

[2] Shandong Key Lab Blockchain Finance, Jinan 250014, Peoples R China

[3] Shandong Univ, Inst Financial Studies, Jinan, Peoples R China

[4] Shandong Univ, Sch Math, Jinan, Peoples R China

[5] Beijing Univ Posts & Telecommun, Sch Sci, Beijing 100876, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2021年 / 37卷 / 02期

基金：

中国国家自然科学基金; 国家重点研发计划;

关键词：

infinite horizon; forward-backward doubly stochastic differential equations; homotopy; stochastic partial differential equation; DRIVEN; CALCULUS; PDIES;

D O I：

10.1007/s10255-021-1009-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A type of infinite horizon forward-backward doubly stochastic differential equations is studied. Under some monotonicity assumptions, the existence and uniqueness results for measurable solutions are established by means of homotopy method. A probabilistic interpretation for solutions to a class of stochastic partial differential equations combined with algebra equations is given. A significant feature of this result is that the forward component of the FBDSDEs is coupled with the backward variable.

引用

页码：319 / 336

页数：18

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