Kai Du, Qingxin Meng
Published 2009-11-02, updated 2009-11-09Version 3
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 $H^n$ ($=W^n_2$) under weaker assumptions than those used by X. Zhou [Journal of Functional Analysis 103, 275--293 (1992)]. As an application, a comparison theorem is obtained.
Strong Solution of Backward Stochastic Partial Differential Equations in $C^2$ Domains
Cauchy Problem of Stochastic Kinetic Equations
Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
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