Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
Probability
2009-09-29 v1 Analysis of PDEs
Abstract
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.
Keywords
Cite
@article{arxiv.0708.4138,
title = {Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions},
author = {Brahim Boufoussi and Jan Van Casteren and N. Mrhardy},
journal= {arXiv preprint arXiv:0708.4138},
year = {2009}
}
Comments
Published at http://dx.doi.org/10.3150/07-BEJ5092 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)