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Pathwise stationary solutions of stochastic differential equations and backward doubly stochastic differential equations on infinite horizon
preprint
posted on 2006-01-31, 17:34 authored by Qi Zhang, Huaizhong ZhaoThe main purpose of this paper is to study the existence of stationary
solution for stochastic partial differential equations. We establish a new connection
between backward doubly stochastic differential equations on infinite time horizon
and the stationary solution of the SPDEs. For this we study the existence of
the solution of the associated BDSDEs on infinite time horizon and prove it is a
stationary viscosity solution of the corresponding SPDEs.
History
School
- Science
Department
- Mathematical Sciences
Pages
291836 bytesPublication date
2006Notes
This is a pre-print.Language
- en