文献类型：期刊文献

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

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

作者：Hui-nan LENG[1]

机构：[1]Department of Mathematics, East China University of Science and Technology

年份：2016

卷号：32

期号：2

起止页码：407

中文期刊名：Acta Mathematicae Applicatae Sinica

外文期刊名：应用数学学报（英文版）

收录：CSTPCD;;Scopus;CSCD:【CSCD2015_2016】；PubMed;

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

语种：英文

中文关键词：backward doubly stochastic differential equations; infinite horizon; non-degenerate terminal func-tion; stationary property

外文关键词：backward doubly stochastic differential equations; infinite horizon; non-degenerate terminal func-tion; stationary property

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.