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Infinite Horizon Backward Doubly Stochastic Differential Equations with Non-degenerate Terminal Functions and Their Stationary Property

Infinite Horizon Backward Doubly Stochastic Differential Equations with Non-degenerate Terminal Functions and Their Stationary Property
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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.
作者 Hui-nan LENG
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2016年第2期407-422,共16页 应用数学学报(英文版)
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
关键词 backward doubly stochastic differential equations infinite horizon non-degenerate terminal func-tion stationary property backward doubly stochastic differential equations infinite horizon non-degenerate terminal func-tion stationary property
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