EUDML | Backward doubly stochastic differential equations with infinite time horizon

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Displaying similar documents to “Backward doubly stochastic differential equations with infinite time horizon”

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Wang, Jiajie, Ran, Qikang, Chen, Qihong (2007)

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Multivalued backward stochastic differential equations with time delayed generators

Bakarime Diomande, Lucian Maticiuc (2014)

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Our aim is to study the following new type of multivalued backward stochastic differential equation: $\{\begin{matrix} - d Y (t) + \partial φ (Y (t)) d t ∋ F (t, Y (t), Z (t), Y_{t}, Z_{t}) d t + Z (t) d W (t), 0 ⩽ t ⩽ T, \\ Y (T) = ξ, \end{matrix}$ where ∂φ is the subdifferential of a convex function and (Y t, Z t):= (Y(t + θ), Z(t + θ))θ∈[−T,0] represent the past values of the solution over the interval [0, t]. Our results are based on the existence theorem from Delong Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.

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