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July, 1995 Constructing Gamma-Martingales with Prescribed Limit, Using Backwards SDE
R. W. R. Darling
Ann. Probab. 23(3): 1234-1261 (July, 1995). DOI: 10.1214/aop/1176988182


Let $V_W$ and $V_Y$ be Euclidean vector spaces and let $V_Z \equiv L(V_W \rightarrow V_Y)$. Given a Wiener process $W$ on $V_W$, with natural filtration $\{\mathscr{I}_t\}$, and a $\mathscr{I}_T$-measurable random variable $U$ in $V_Y$, we seek adapted processes $(Y, Z)$ in $V_Y \times V_Z$ satisfying the SDE $U = Y(t) + \int_{(t,T\rbrack}ZdW - \int_{(t, T\rbrack} \Gamma(Y, ZZ^\ast) ds/2, 0 \leq t \leq T,$ under local Lipschitz and convexity conditions on the map $(y, A) \rightarrow \Gamma(y, A)$. These conditions apply in particular in the case $\Gamma(y, A) = \sum\Gamma^i_{jk}(y)A^{jk}$, where $\Gamma$ is a linear connection on $V_Y$ whose Christoffel symbols $\Gamma^i_{jk}$ are bounded and Lipschitz, and $\Gamma$ has certain convexity properties. In that case the solution $Y$ above is known as a $\Gamma$-martingale with terminal value $U$. The solution $(Y, Z)$ is constructed explicitly using the Pardoux-Peng theory of backwards SDE's. Applications include the Dirichlet problem and the heat equation for harmonic mappings, and other PDE's.


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R. W. R. Darling. "Constructing Gamma-Martingales with Prescribed Limit, Using Backwards SDE." Ann. Probab. 23 (3) 1234 - 1261, July, 1995.


Published: July, 1995
First available in Project Euclid: 19 April 2007

zbMATH: 0839.58060
MathSciNet: MR1349170
Digital Object Identifier: 10.1214/aop/1176988182

Primary: 58G32
Secondary: 60G48 , 60H20

Keywords: Brownian motion , Connection , gamma-martingale , Harmonic map , martingale , quasilinear partial differential equation , Stochastic differential equation , terminal value

Rights: Copyright © 1995 Institute of Mathematical Statistics

Vol.23 • No. 3 • July, 1995
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