A revisit to W2
n-theory of super-parabolic backward stochastic partial differential equations in ℝd

Kai Du; Qingxin Meng

doi:10.1016/j.spa.2010.06.001

A revisit to W₂ ⁿ-theory of super-parabolic backward stochastic partial differential equations in ℝ^d

Kai Du^*, Qingxin Meng

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

27 Citations (Scopus)

Abstract

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 Hⁿ (=W₂ ⁿ) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275293]. As an application, a comparison theorem is obtained.

Original language	English
Pages (from-to)	1996-2015
Number of pages	20
Journal	Stochastic Processes and their Applications
Volume	120
Issue number	10
DOIs	https://doi.org/10.1016/j.spa.2010.06.001
Publication status	Published - Sept 2010

Keywords

Backward stochastic partial differential equations
Cauchy problems
Sobolev spaces

Access to Document

10.1016/j.spa.2010.06.001

Cite this

@article{491753499efb48268cb0ac50d772ecb9,

title = "A revisit to W2 n-theory of super-parabolic backward stochastic partial differential equations in ℝd ",

abstract = "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 Hn (=W2 n) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275293]. As an application, a comparison theorem is obtained.",

keywords = "Backward stochastic partial differential equations, Cauchy problems, Sobolev spaces",

author = "Kai Du and Qingxin Meng",

year = "2010",

month = sep,

doi = "10.1016/j.spa.2010.06.001",

language = "English",

volume = "120",

pages = "1996--2015",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "10",

}

TY - JOUR

T1 - A revisit to W2 n-theory of super-parabolic backward stochastic partial differential equations in ℝd

AU - Du, Kai

AU - Meng, Qingxin

PY - 2010/9

Y1 - 2010/9

N2 - 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 Hn (=W2 n) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275293]. As an application, a comparison theorem is obtained.

AB - 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 Hn (=W2 n) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275293]. As an application, a comparison theorem is obtained.

KW - Backward stochastic partial differential equations

KW - Cauchy problems

KW - Sobolev spaces

UR - http://www.scopus.com/inward/record.url?scp=77955550900&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2010.06.001

DO - 10.1016/j.spa.2010.06.001

M3 - Article

AN - SCOPUS:77955550900

SN - 0304-4149

VL - 120

SP - 1996

EP - 2015

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 10

ER -

A revisit to W₂ ⁿ-theory of super-parabolic backward stochastic partial differential equations in ℝ^d

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this