Representation theorems for backward doubly stochastic differential equations
| dc.creator | Aman, Auguste | |
| dc.date | 2007-12-13 | |
| dc.date | 2008-11-12 | |
| dc.date.accessioned | 2026-07-07T10:17:19Z | |
| dc.date.available | 2026-07-07T10:17:19Z | |
| dc.description | In this paper we study the class of backward doubly stochastic differential equations (BDSDEs, for short) whose terminal value depends on the history of forward diffusion. We first establish a probabilistic representation for the spatial gradient of the stochastic viscosity solution to a quasilinear parabolic SPDE in the spirit of the Feynman-Kac formula, without using the derivatives of the coefficients of the corresponding BDSDE. Then such a representation leads to a closed-form representation of the martingale integrand of BDSDE, under only standard Lipschitz condition on the coefficients. | |
| dc.description | The version of this article have 20 pages and is submitted to Journal Bernoulli for publication | |
| dc.identifier | https://arxiv.org/abs/0712.2219 | |
| dc.identifier | http://arxiv.org/abs/0712.2219 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/173813 | |
| dc.subject | Probability | |
| dc.subject | 60H15; 60H20 | |
| dc.title | Representation theorems for backward doubly stochastic differential equations | |
| dc.type | text |