Backward Doubly Stochastic Differential Equations (BDSDEs)
Abstract
Abstract: In this paper, we present a class of stochastic differential equations with terminal condition, called backward doubly stochastic differential equations (BDSDEs). Precisely, we will prove the existence and uniqueness of the solutions of FBDSDEs but under weaker conditions.
Keywords
Itô Formula, Brownian motion/Wiener process, Backward doubly stochastic differential equations, stochastic partial differential-integral equations.