Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs
Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs
复制标题
无限视野前向-后向双随机微分方程及相关SPDE
DOI：
10.1007/s10255-021-1009-9
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发表时间：
2021
期刊：
影响因子：
--
通讯作者：
Yufeng Shi
中科院分区：
文献类型：
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作者：
Qing-feng Zhu;Liang-quan Zhang;Yufeng Shi
研究了一类无限水平正反向双随机微分方程。在一定的单调性假设下，利用同伦方法得到了可测解的存在唯一性结果。结合代数方程给出了一类随机偏微分方程解的概率解释。这一结果的一个显著特征是，FBDSDE的前向分量与后向变量耦合。
A type of infinite horizon forward-backward doubly stochastic differential equations is studied. Under some monotonicity assumptions, the existence and uniqueness results for measurable solutions are established by means of homotopy method. A probabilistic interpretation for solutions to a class of stochastic partial differential equations combined with algebra equations is given. A significant feature of this result is that the forward component of the FBDSDEs is coupled with the backward variable.