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dc.contributor.authorMatoussi, Anis*
dc.contributor.authorPossamaï, Dylan*
dc.contributor.authorSabbagh, Wissal*
dc.date.accessioned2017-12-08T10:32:41Z
dc.date.available2017-12-08T10:32:41Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17211
dc.language.isoenen
dc.subjectPDEs
dc.subject2BDSDEs
dc.subject.ddc519en
dc.titleProbabilistic interpretation for solutions of fully nonlinear stochastic PDEs
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator, and we investigate the links between our 2BDSDEs and a class of parabolic fully nonLinear Stochastic PDEs. Precisely, we show that the Markovian solution of 2BDSDEs provide a probabilistic interpretation of the classical and stochastic viscosity solution of fully nonlinear SPDEs.
dc.relation.isversionofjnlnameProbability Theory and Related Fields
dc.relation.isversionofjnldate2018
dc.relation.isversionofdoi10.1007/s00440-018-0859-4
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01481372
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-12-15T17:48:22Z
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