A revisit to W2n-theory of super-parabolic backward stochastic partial differential equations in Rd

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:120

Article

Du, Kai¹  Meng, Qingxin^1,2 

[1] Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China

[2] Huzhou Teacher Coll, Dept Math Sci, Huzhou 31300, Peoples R China

关键词: Backward stochastic partial differential equations;    Cauchy problems;    Sobolev spaces;   

DOI  :  10.1016/j.spa.2010.06.001

来源: Elsevier

【 摘 要 】

Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space H-n (=W-2(n)) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275-293]. As an application, a comparison theorem is obtained. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

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