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Backward stochastic partial differential equations with quadratic growth |
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| Authors: | Kai Du Shaokuan Chen |
| Affiliation: | 1. Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland;2. School of Management, University of Texas at Dallas, Richardson, TX 75080, USA |
| Abstract: | This paper is concerned with the weak solution (in analytic sense) to the Cauchy–Dirichlet problem of a backward stochastic partial differential equation when the nonhomogeneous term has a quadratic growth in both the gradient of the first unknown and the second unknown. Existence and uniqueness results are obtained under separate conditions. |
| Keywords: | Backward stochastic partial differential equations Quadratic growth Change of variables Weak solution |
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