A revisit to $W_2^n$-theory of super-parabolic backward stochastic partial differential equations in $R^d$

Authors

Kai Du, University of WollongongFollow
Qingxin Meng, Huzhou Teacher CollegeFollow

RIS ID

101346

Publication Details

Du, K. & Meng, Q. (2010). A revisit to $W_2^n$-theory of super-parabolic backward stochastic partial differential equations in $R^d$. Stochastic Processes and their Applications, 120 (10), 1996-2015.

Abstract

Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in the whole Euclidean space. Improved existence and uniqueness results are given in the Sobolev space Hn (DWn 2 ) under weaker assumptions than those used by X. Zhou [X. Zhou, A duality analysis on stochastic partial differential equations, J. Funct. Anal. 103 (1992) 275-293]. As an application, a comparison theorem is obtained.