L^{p}-solutions of backward doubly stochastic differential equations

Auguste Aman

L^{p}-solutions of backward doubly stochastic differential equations

Probability 2011-08-04 v2

Authors: Auguste Aman

Abstract

The goal of this paper is to solve backward doubly stochastic differential equation (BDSDE, in short) under weak assumptions on the data. The first part is devoted to the development of some new technical aspects of stochastic calculus related to BDSDEs. Then we derive a priori estimates and prove existence and uniqueness of solutions in Lp, p\in (1,2), extending the work of pardoux and Peng (see Probab. Theory Related Fields 98 (1994), no. 2).

Keywords

backward doubly stochastic differential equations L^p solutions existence and uniqueness stochastic calculus a priori estimates

Cite

@article{arxiv.1011.3030,
  title  = {L^{p}-solutions of backward doubly stochastic differential equations},
  author = {Auguste Aman},
  journal= {arXiv preprint arXiv:1011.3030},
  year   = {2011}
}

Comments

The version has been greatly improved and is accepted for publication in Stochastic and Dynamics

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