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Title:
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Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
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Author:
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Boufoussi, Brahim; Van Casteren, Jan; Mrhardy, Naoual
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Other authors:
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Centre de Recerca Matemàtica |
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Abstract:
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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. |
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Publication date:
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2006-02 |
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Subject(s):
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Equacions estocàstiques diferencials |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el centre i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Preprint |
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