Stochastic partial differential equations with singular terminal condition

A Matoussi (1, 2) , Lambert Piozin (2) , A Popier (2)

1 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
2 LMM - Laboratoire Manceau de Mathématiques

In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the generator. Then we study the case where the terminal data is singular, in the sense that it can be equal to +∞ on a set of positive measure. In this setting we show that there exists a minimal solution, both for the BDSDE and for the SPDE. Note that solution of the SPDE means weak solution in the Sobolev sense.

Mots clés: backward doubly stochastic differential equations; stochastic partial differential equations; monotone condition; singular terminal data

Domaines: Probabilités [math.PR]; Equations aux dérivées partielles [math.AP]

A Matoussi, Lambert Piozin, A Popier. Stochastic partial differential equations with singular terminal condition. 2015. ⟨hal-01152687⟩