Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

By Brahim Boufoussi, Johannes A. van Casteren, N. Mrhardy. 2007

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In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.

Subfields: Applied Mathematics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/eaf0d47e25f025d8516df02e0a0a3c2810dd9317