Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
Boufoussi, Brahim ; Van Casteren, Jan ; Mrhardy, N.
Bernoulli, Tome 13 (2007) no. 1, p. 423-446 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.
Publié le : 2007-05-14
Classification:  Backward doubly stocastic equations,  stochastic partial differential equations 
@article{1179498755,
     author = {Boufoussi, Brahim and Van Casteren, Jan and Mrhardy, N.},
     title = {Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 423-446},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1179498755}
}

Boufoussi, Brahim; Van Casteren, Jan; Mrhardy, N. Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions. Bernoulli, Tome 13 (2007) no. 1, pp.  423-446. http://gdmltest.u-ga.fr/item/1179498755/