Stochastic partial differential equations with singular terminal condition

A. Matoussi, L. Piozin and A. Popier

Stochastic Processes and their Applications, 2017, vol. 127, issue 3, 831-876

Abstract: In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the generator. Then we study the case where the terminal data is singular, in the sense that it can be equal to +∞ on a set with positive measure. In this setting we show that there exists a minimal solution, both for the BDSDE and for the SPDE. Note that solution of the SPDE means weak solution in the Sobolev sense.

Keywords: Backward doubly stochastic differential equations; Stochastic partial differential equations; Monotone condition; Singular terminal data (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spa.2016.07.002

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