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Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations

Author

Listed:
  • 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, John Wiley & Sons, vol. 2012(1).
    • Handle: RePEc:wly:jnljam:v:2012:y:2012:i:1:n:582645
    DOI: 10.1155/2012/582645
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    References listed on IDEAS

    as
    1. Bo Zhu & Baoyan Han, 2012. "Comparison Theorems for the Multidimensional BDSDEs and Applications," Journal of Applied Mathematics, John Wiley & Sons, vol. 2012(1).
    2. Bo Zhu & Baoyan Han, 2012. "Comparison Theorems for the Multidimensional BDSDEs and Applications," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-14, April.
    3. V. Bally & A. Matoussi, 2001. "Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 14(1), pages 125-164, January.
    Full references (including those not matched with items on IDEAS)

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