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Reflected backward stochastic partial differential equations in a convex domain
Stochastic Processes and their Applications ( IF 1.1 ) Pub Date : 2020-10-01 , DOI: 10.1016/j.spa.2020.05.002
Xue Yang , Qi Zhang , Tusheng Zhang

Abstract This paper is concerned with the reflected backward stochastic partial differential equations, taking values in a convex domain in R k . The existence and uniqueness of solution are studied under both the super-parabolic and parabolic conditions. In the degenerate parabolic case the connection between reflected backward stochastic partial differential equations and reflected forward backward stochastic differential equations is established.

中文翻译:

凸域中反射后向随机偏微分方程

摘要 本文研究反射后向随机偏微分方程,在 R k 的凸域中取值。研究了超抛物线和抛物线条件下解的存在唯一性。在退化抛物线情况下,建立了反射后向随机偏微分方程和反射前向后向随机微分方程之间的联系。
更新日期:2020-10-01
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