Backward stochastic partial differential equations with quadratic growth

Authors

Kai Du, University of WollongongFollow
Shaokuan Chen, University of Texas at Dallas

RIS ID

101366

Publication Details

Du, K. & Chen, S. (2014). Backward stochastic partial differential equations with quadratic growth. Journal of Mathematical Analysis and Applications, 419 (1), 447-468.

Abstract

This paper is concerned with the weak solution (in analytic sense) to the Cauchy-Dirichletproblemofabackwardstochasticpartialdifferentialequationwhenthe nonhomogeneous term has a quadratic growth in both the gradient of the first unknown and the second unknown. Existencea nd uniqueness results are obtained unde rseparate conditions.