Stochastic partial differential equations with singular terminal condition

DOI10.1016/j.spa.2016.07.002zbMath1355.35198arXiv1505.04624OpenAlexW2130571913MaRDI QIDQ511132

Anis Matoussi, Lambert Piozin, Alexandre Popier

Publication date: 14 February 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04624

zbMATH Keywords

stochastic partial differential equationsbackward doubly stochastic differential equationsmonotone conditionsingular terminal data

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Singular parabolic equations (35K67)

Related Items (4)

Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations ⋮ Backward stochastic differential equations with non-Markovian singular terminal values

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