On linear, degenerate backward stochastic partial differential equations |
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| Authors: | Jin Ma Jiongmin Yong |
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| Institution: | (1) Department of Mathematics, Purdue University, West Lafayette, IN 47907-1395, USA. e-mail: majin@math.purdue.edu, US;(2) Laboratory of Mathematics for Nonlinear Sciences and Department of Mathematics, Fudan University, Shanghai 200433, China., CN |
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| Abstract: | In this paper we study the well-posedness and regularity of the adapted solutions to a class of linear, degenerate backward stochastic partial differential 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 regularity
of adapted solutions are obtained. Also, we prove some comparison theorems and discuss their possible applications in mathematical
finance.
Received: 24 September 1997 / Revised version: 3 June 1998 |
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| Keywords: | Mathematics Subject Classification (1991): 60H15 35R60 34F05 93E20 |
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