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The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth
Probability, Uncertainty and Quantitative Risk Pub Date : 2019-03-30 , DOI: 10.1186/s41546-019-0037-3
Renzhi Qiu , Shanjian Tang

The paper is devoted to the Cauchy problem of backward stochastic super-parabolic equations with quadratic growth. We prove two Itô formulas in the whole space. Furthermore, we prove the existence of weak solutions for the case of one-dimensional state space, and the uniqueness of weak solutions without constraint on the state space.

中文翻译:

具有二次增长的倒向随机超抛物方程的柯西问题

本文致力于研究具有二次增长的倒向随机超抛物方程的柯西问题。我们证明了整个空间中的两个Itô公式。此外,我们证明了一维状态空间情况下弱解的存在性,以及对状态空间没有约束的弱解的唯一性。
更新日期:2019-03-30
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