具有非线性 Neumann 边界条件的广义向后双向随机微分方程与 SPDEs
概率论
2009-09-29 v1 偏微分方程分析
摘要
本文研究了一类新的广义向后双向随机微分方程。该类方程涉及关于适应连续增过程的积分。给出了具有 Neumann 边界条件的半线性随机偏微分方程粘性解的概率表示。
引用
@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}
}
备注
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)