The Annals of Probability

Backwards SDE with random terminal time and applications to semilinear elliptic PDE

R. W. R. Darling and Etienne Pardoux

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Abstract

Suppose ${\Im_t}$ is the filtration induced by a Wiener process $W$ in $R^d$, $\tau$ is a finite ${\Im_t}$ stopping time (terminal time), $\xi$ is an ${\Im_{\tau}}$-measurable random variable in $R^k$ (terminal value) and $f(\cdot, y, z)$ is a coefficient process, depending on $y \in R^k$ and $z \in L(R^d, R^k)$, satisfying $(y - \tilde{y})[f(s, y, z) - f(s, \tilde{y}, z)] \leq - a|y - \tilde{y}|^2$ ($f$ need not be Lipschitz in $y$), and $|f(s, y, z) - f(s, y, \tilde{z})| \leq b||z - \tilde{z}||$, for some real $a$ and $b$, plus other mild conditions. We identify a Hilbert space, depending on $\tau$ and on the number $\gamma \equiv b^2 - 2a$, in which there exists a unique pair of adapted processes $(Y, Z)$ satisfying the stochastic differential equation $$dY(s) = 1_{{s \leq \tau}} [Z(s) dW(s) - f(s, Y(s), Z(s)) ds]$$ with the given terminal condition $Y(\tau) - \xi$, provided a certain integrability condition holds. This result is applied to construct a continuous viscosity solution to the Dirichlet problem for a class of semilinear elliptic PDE’s.

Article information

Source
Ann. Probab., Volume 25, Number 3 (1997), 1135-1159.

Dates
First available in Project Euclid: 18 June 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1024404508

Digital Object Identifier
doi:10.1214/aop/1024404508

Mathematical Reviews number (MathSciNet)
MR1457614

Zentralblatt MATH identifier
0895.60067

Subjects
Primary: 60H20: Stochastic integral equations
Secondary: 35J60: Nonlinear elliptic equations 90A09

Keywords
Stochastic differential equation monotonicity stopping time Brownian motion viscosity solution semilinear elliptic PDE

Citation

Darling, R. W. R.; Pardoux, Etienne. Backwards SDE with random terminal time and applications to semilinear elliptic PDE. Ann. Probab. 25 (1997), no. 3, 1135--1159. doi:10.1214/aop/1024404508. https://projecteuclid.org/euclid.aop/1024404508


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  • TAMPA, FLORIDA 33620-5700 39, RUE F. JOLIOT-CURIE E-MAIL: darling@math.usf.edu F-13453 MARSEILLE CEDEX France E-MAIL: pardoux@gyptis.univ-mrs.fr