Backward doubly stochastic differential equations with infinite time horizon
Bo Zhu, Baoyan Han (2012)
Applications of Mathematics
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We give a sufficient condition on the coefficients of a class of infinite horizon backward doubly stochastic differential equations (BDSDES), under which the infinite horizon BDSDES have a unique solution for any given square integrable terminal values. We also show continuous dependence theorem and convergence theorem for this kind of equations.