On linear, degenerate backward stochastic partial differential equations

被引：58

作者：

Ma, J ^{[1
]}

Yong, JM

机构：

[1] Purdue Univ, Dept Math, W Lafayette, IN 47907 USA

[2] Fudan Univ, Lab Math Nonlinear Sci, Shanghai 200433, Peoples R China

[3] Fudan Univ, Dept Math, Shanghai 200433, Peoples R China

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1999年 / 113卷 / 02期

关键词：

degenerate backward stochastic partial differential equations; adapted solutions; comparison theorems;

D O I：

10.1007/s004400050205

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study the well-posedness and regularity of the adapted solutions to a class of linear, degenerate backward stochastic partial differential equations (BSPDE, for short). We establish new a priori estimates for the adapted solutions to BSPDEs in a general setting, based on which the existence, uniqueness, and regularity of adapted solutions are obtained. Also, we prove some comparison theorems and discuss their possible applications in mathematical finance. Mathematics Subject Classification (1991): 60H15, 35R60, 34F05, 93E20.

引用

页码：135 / 170

页数：36

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