Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations

Bo Zhu and Baoyan Han

Journal of Applied Mathematics, 2012, vol. 2012, 1-17

Abstract:

We give a sufficient condition on the coefficients of a class of infinite horizon 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. A probabilistic interpretation for solutions to a class of stochastic partial differential equations is given.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:582645

DOI: 10.1155/2012/582645

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