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On linear, degenerate backward stochastic partial differential equations. Probability theory and related fields 113 (1999).
| Content Provider | CiteSeerX |
|---|---|
| Author | Ma, Jin Yong, Jiongmin |
| Abstract | Abstract. In this paper we study the well-posedness and regularity of the adapted solutions to a class of linear, degenerate backward sto-chastic partial dierential equations (BSPDE, for short). We establish new a priori estimates for the adapted solutions to BSPDEs in a general setting, based on which the existence, uniqueness, and regu-larity of adapted solutions are obtained. Also, we prove some com-parison theorems and discuss their possible applications in mathematical finance. |
| File Format | |
| Publisher Date | 1999-01-01 |
| Access Restriction | Open |
| Subject Keyword | Related Field Adapted Solution Probability Theory Sto-chastic Partial Dierential Equation Priori Estimate Possible Application General Setting Com-parison Theorem Mathematical Finance |
| Content Type | Text |
| Resource Type | Article |