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On linear, degenerate backward stochastic partial differential equations
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  • Published: February 1999

On linear, degenerate backward stochastic partial differential equations

  • Jin Ma1 &
  • Jiongmin Yong2 

Probability Theory and Related Fields volume 113, pages 135–170 (1999)Cite this article

Abstract.

In this paper we study the well-posedness and regularity of the adapted solutions to a class of linear, degenerate backward stochastic partial differential equations (BSPDE, for short). We establish new a priori estimates for the adapted solutions to BSPDEs in a general setting, based on which the existence, uniqueness, and regularity of adapted solutions are obtained. Also, we prove some comparison theorems and discuss their possible applications in mathematical finance.

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Authors and Affiliations

  1. Department of Mathematics, Purdue University, West Lafayette, IN 47907-1395, USA. e-mail: majin@math.purdue.edu, , , , , , US

    Jin Ma

  2. Laboratory of Mathematics for Nonlinear Sciences and Department of Mathematics, Fudan University, Shanghai 200433, China., , , , , , CN

    Jiongmin Yong

Authors
  1. Jin Ma
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  2. Jiongmin Yong
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Additional information

Received: 24 September 1997 / Revised version: 3 June 1998

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Ma, J., Yong, J. On linear, degenerate backward stochastic partial differential equations. Probab Theory Relat Fields 113, 135–170 (1999). https://doi.org/10.1007/s004400050205

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  • Issue Date: February 1999

  • DOI: https://doi.org/10.1007/s004400050205

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  • Mathematics Subject Classification (1991): 60H15, 35R60, 34F05, 93E20
  • Key words: Degenerate backward stochastic partial differential equations, adapted solutions, comparison theorems
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