Nonlinear Backward Stochastic Evolutionary Equations Driven by a Space-Time White Noise
Probability
2017-08-02 v1
Abstract
We study the well solvability of nonlinear backward stochastic evolutionary equations driven by a space-time white noise. We first establish a novel a priori estimate for solution of linear backward stochastic evolutionary equations, and then give an existence and uniqueness result for nonlinear backward stochastic evolutionary equations. A dual argument plays a crucial role in the proof of these results. Finally, an example is given to illustrate the existence and uniqueness result.
Keywords
Cite
@article{arxiv.1708.00324,
title = {Nonlinear Backward Stochastic Evolutionary Equations Driven by a Space-Time White Noise},
author = {Ying Hu and Shanjian Tang},
journal= {arXiv preprint arXiv:1708.00324},
year = {2017}
}