Stationary Solutions of SPDEs and Infinite Horizon BDSDEs

Qi Zhang, Huaizhong Zhao

Published 2006-02-02, updated 2008-11-13Version 2

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{d}})$ valued solutions of backward doubly stochastic differential equations (BDSDEs) on infinite horizon and the stationary solutions of the SPDEs. Moreover, we prove the existence and uniqueness of the solutions of BDSDEs on both finite and infinite horizons, so obtain the solutions of initial value problems and the stationary solutions (independent of any initial value) of SPDEs. The connection of the weak solutions of SPDEs and BDSDEs has independent interests in the areas of both SPDEs and BSDEs.