The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth

The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth

Abstract The paper is devoted to the Cauchy problem of backward stochastic super-parabolic equations with quadratic growth. We prove two Itô formulas in the whole space. Furthermore, we prove the existence of weak solutions for the case of one-dimensional state space, and the uniqueness of weak solu...

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Bibliographic Details
Main Authors: Renzhi Qiu, Shanjian Tang
Format: Article
Language:English
Published: SpringerOpen 2019-03-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Backward stochastic differential equation · Quadratic growth · Weak solution · Super-parabolic · Itô’s formula
Online Access:http://link.springer.com/article/10.1186/s41546-019-0037-3

Internet

http://link.springer.com/article/10.1186/s41546-019-0037-3

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