Auguste Aman
Published 2009-07-11Version 1
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.
Comments: 15 page and submitted to Stochastic and stochastic report
L^{p}-solutions of backward doubly stochastic differential equations
Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations
On the discretization of backward doubly stochastic differential equations
![QR code for arXiv:0907.1983 [math.PR]](http://oss.arxitics.com/images/favicon.svg)