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.

引用

页码：739 / 751

页数：13

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