Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs

• 作者: Qing-feng ZHU Liang-quan ZHANG Yu-feng SHI
• 来源期刊: 应用数学学报（英文版）
• 年，卷（期）: 2021,（2）
• 页码范围: 319-336
• 页数: 18页
• 语种: 英文

摘要

A type of infinite horizon forward-backward doubly stochastic differential equations is studied.Under some monotonicity assumptions,the existence and uniqueness results for measurable solutions are established by means of homotopy method.A probabilistic interpretation for solutions to a class of stochastic partial differential equations combined with algebra equations is given.A significant feature of this result is that the forward component of the FBDSDEs is coupled with the backward variable.