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July 1997 Backwards SDE with random terminal time and applications to semilinear elliptic PDE
R. W. R. Darling, Etienne Pardoux
Ann. Probab. 25(3): 1135-1159 (July 1997). DOI: 10.1214/aop/1024404508

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.

Citation

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R. W. R. Darling. Etienne Pardoux. "Backwards SDE with random terminal time and applications to semilinear elliptic PDE." Ann. Probab. 25 (3) 1135 - 1159, July 1997. https://doi.org/10.1214/aop/1024404508

Information

Published: July 1997
First available in Project Euclid: 18 June 2002

zbMATH: 0895.60067
MathSciNet: MR1457614
Digital Object Identifier: 10.1214/aop/1024404508

Subjects:
Primary: 60H20
Secondary: 35J60, 90A09

Rights: Copyright © 1997 Institute of Mathematical Statistics

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Vol.25 • No. 3 • July 1997
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