SPDEs with Polynomial Growth Coefficients and Malliavin Calculus Method

Details SPDEs with Polynomial Growth Coefficients and Malliavin Calculus Method SPDEs with Polynomial Growth Coefficients and Malliavin Calculus Method

2011-11-09

arxiv.org/abs/1111.2202v1

Mathematics

Probability

Scientific paper

In this paper we study the existence and uniqueness of the $L_{\rho}^{2p}(\mathbb{R}^d;\mathbb{R}^1)\times L_{\rho}^2(\mathbb{R}^d;\mathbb{R}^d)$ valued solution of backward doubly stochastic differential equations with polynomial growth coefficients using week convergence, equivalence of norm principle and Wiener-Sobolev compactness arguments. Then we establish a new probabilistic representation of the weak solutions of SPDEs with polynomial growth coefficients through the solutions of the corresponding backward doubly stochastic differential equations (BDSDEs). This probabilistic representation is then used to prove the existence of stationary solution of SPDEs on $\mathbb{R}^d$ via infinite horizon BDSDEs. The convergence of the solution of BDSDE to the solution of infinite horizon BDSDEs is shown to be equivalent to the convergence of the pull-back of the solutions of SPDEs. With this we obtain the stability of the stationary solutions as well.

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