Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4631122 | Applied Mathematics and Computation | 2011 | 11 Pages |
Abstract
In this paper, a new class of backward doubly stochastic differential equations is studied. This type of equations has a more general form of the forward Itô integrals compared to the ones which have been studied until now. We conclude that unique solutions of these equations can be represented with the help of solutions of the corresponding backward doubly stochastic differential equations, considered earlier in paper [5] by Pardoux and Peng. Some comparison theorems are also given, as well as a probabilistic interpretation for solutions of the corresponding quasilinear stochastic partial differential equations.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Svetlana JankoviÄ, Jasmina DjordjeviÄ, Miljana JovanoviÄ,