摘要
In this paper we consider infinite horizon backward doubly stochastic differential equations (BDS- DEs for short) coupled with forward stochastic differential equations, whose terminal functions are non-degenerate. For such kind of BDSDEs, we study the existence and uniqueness of their solutions taking values in weighted Lp(dx)¤L2(dx)space (p _〉 2), and obtain the stationary property for the solutions.
In this paper we consider infinite horizon backward doubly stochastic differential equations (BDS- DEs for short) coupled with forward stochastic differential equations, whose terminal functions are non-degenerate. For such kind of BDSDEs, we study the existence and uniqueness of their solutions taking values in weighted Lp(dx)¤L2(dx)space (p _〉 2), and obtain the stationary property for the solutions.
基金
Supported in part by the National Natural Science Foundation of China under Grant No.11126081,11101090,11401212 and 11471079
the Fundamental Research Funds for the Central Universities under Grant No.WM1014032