| Title:
|
Backward doubly stochastic differential equations with infinite time horizon (English) |
| Author:
|
Zhu, Bo |
| Author:
|
Han, Baoyan |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
57 |
| Issue:
|
6 |
| Year:
|
2012 |
| Pages:
|
641-653 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations. (English) |
| Keyword:
|
infinite horizon |
| Keyword:
|
filtration |
| Keyword:
|
backward stochastic integral |
| Keyword:
|
backward doubly stochastic differential equations |
| MSC:
|
35R60 |
| MSC:
|
60H10 |
| idZBL:
|
Zbl 1274.60193 |
| idMR:
|
MR3010242 |
| DOI:
|
10.1007/s10492-012-0039-2 |
| . |
| Date available:
|
2012-11-10T20:47:31Z |
| Last updated:
|
2020-07-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/143008 |
| . |
| Reference:
|
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| . |
