Lp-solution of backward doubly stochastic differential equations

Details Lp-solution of backward doubly stochastic differential equations Lp-solution of backward doubly stochastic differential equations

2009-07-11

arxiv.org/abs/0907.1983v1

Mathematics

Probability

15 page and submitted to Stochastic and stochastic report

Scientific paper

In this paper, our goal is solving backward doubly stochastic differential equation (BDSDE for short) under weak assumptions on the data. The first part of the paper is devoted to the development of some new technical aspects of stochastic calculus related to BDSDEs. Then we derive a priori estimates and prove existence and uniqueness of solutions, extending the results of Pardoux and Peng \cite{PP1} to the case where the solution is taked in $L^{p}, p>1$ and the monotonicity conditions are satisfied. This study is limited to deterministic terminal time.

Affiliated with

Also associated with

No associations

Rating

Lp-solution of backward doubly stochastic differential equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Lp-solution of backward doubly stochastic differential equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Lp-solution of backward doubly stochastic differential equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-620019