NONLINEAR BACKWARD STOCHASTIC EVOLUTIONARY EQUATIONS DRIVEN BY A SPACE-TIME WHITE NOISE

被引：0
|
作者：
Hu, Ying [1 ,2 ]
Tang, Shanjian [3 ]
机构：
[1] Univ Rennes 1, Inst Rech Mathemat Rennes, F-35042 Rennes, France
[2] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China
[3] Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2018年 / 8卷 / 3-4期
基金：
美国国家科学基金会;
关键词：
Backward stochastic evolutionary equation; space-time white noise; well solvability; a priori estimate; dual argument; PARTIAL-DIFFERENTIAL-EQUATIONS; MAXIMUM PRINCIPLE; SYSTEMS;
D O I：
10.3934/mcrf.2018032
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the well solvability of nonlinear backward stochastic evolutionary equations driven by a space-time white noise. We first establish a novel a priori estimate for solution of linear backward stochastic evolutionary equations, and then give an existence and uniqueness result for nonlinear backward stochastic evolutionary equations. A dual argument plays a crucial role in the proof of these results. Finally, an example is given to illustrate the existence and uniqueness result.
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页码：739 / 751
页数：13
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