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Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations

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  • Bo Zhu
  • Baoyan Han

Abstract

We give a sufficient condition on the coefficients of a class of infinite horizon 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. A probabilistic interpretation for solutions to a class of stochastic partial differential equations is given.

Suggested Citation

  • Bo Zhu & Baoyan Han, 2012. "Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-17, December.
    • Handle: RePEc:hin:jnljam:582645
    DOI: 10.1155/2012/582645
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