Stochastic PDEs Driven by Nonlinear Noise and Backward Doubly SDEs

被引：0
|
作者：
Anis Matoussi
Michael Scheutzow
机构：
[1] Technische Universität Berlin,
来源：
Journal of Theoretical Probability | 2002年 / 15卷
关键词：
stochastic partial differential equation; Backward SDE; Feynman–Kac's formula; Itô–Kunita's stochastic integral; stochastic flow;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study a “new kind” of backward doubly stochastic differential equations, where the nonlinear noise term is given by Itô–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.
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页码：1 / 39
页数：38
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